4 citations · 8 across the 17 of their papers we have counts for
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q-fin.PM2021
Machine Learning and Factor-Based Portfolio Optimization
Thomas Conlon, John Cotter, Iason Kynigakis
We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used char…
q-fin.PM2012
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
John Cotter, Stuart Gabriel, Richard Roll
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification p…
q-fin.PM2011
Housing risk and return: Evidence from a housing asset-pricing model
Karl Case, John Cotter, Stuart Gabriel
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller…