{"title":"先验自适应群体套索及其在风险因子选择中的应用","authors":"Kristoffer Pons Bertelsen","doi":"10.2139/ssrn.3785286","DOIUrl":null,"url":null,"abstract":"This paper develops and presents the prior adaptive group lasso for generalized linear models. The prior adaptive group lasso is an extension of the prior lasso developed by Jiang, He, and Zhang (2016), which allows for the use of existing information from previous or similar studies in the estimation of the lasso. We demonstrate that the estimator exhibits consistent variable selection and estimation similarly to those derived in Wang and Tian (2019) under at set of similar conditions. The performance of the prior adaptive group lasso estimator is illustrated in a Monte Carlo study. Finally, the estimator is applied in selecting the set of relevant risk factors in asset pricing models conditioning on the fact that the chosen factors must be able to price the test assets as well as the remaining factors. The empirical study shows that the prior adaptive group lasso yields a set of factors that explain the time variation in the returns while delivering 𝛼 estimates close to zero. We also show how this set of factors has evolved over time. We find that the canonical factor models of Fama and French (1993), (Carhart, 1997), (Fama and French, 2015), and (Hou, Xue, and Zhang, 2015) are insufficient to price the cross section of the test assets together with the remaining traded factors, and we find that the required number of pricing factors to include at any given time is closer to 20.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Prior Adaptive Group Lasso with an Application to Risk Factor Selection\",\"authors\":\"Kristoffer Pons Bertelsen\",\"doi\":\"10.2139/ssrn.3785286\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper develops and presents the prior adaptive group lasso for generalized linear models. The prior adaptive group lasso is an extension of the prior lasso developed by Jiang, He, and Zhang (2016), which allows for the use of existing information from previous or similar studies in the estimation of the lasso. We demonstrate that the estimator exhibits consistent variable selection and estimation similarly to those derived in Wang and Tian (2019) under at set of similar conditions. The performance of the prior adaptive group lasso estimator is illustrated in a Monte Carlo study. Finally, the estimator is applied in selecting the set of relevant risk factors in asset pricing models conditioning on the fact that the chosen factors must be able to price the test assets as well as the remaining factors. The empirical study shows that the prior adaptive group lasso yields a set of factors that explain the time variation in the returns while delivering 𝛼 estimates close to zero. We also show how this set of factors has evolved over time. We find that the canonical factor models of Fama and French (1993), (Carhart, 1997), (Fama and French, 2015), and (Hou, Xue, and Zhang, 2015) are insufficient to price the cross section of the test assets together with the remaining traded factors, and we find that the required number of pricing factors to include at any given time is closer to 20.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3785286\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3785286","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
提出了广义线性模型的先验自适应群套索。先验自适应组套索是Jiang、He和Zhang(2016)开发的先验套索的扩展,它允许在套索的估计中使用以前或类似研究的现有信息。我们证明,在一组相似的条件下,估计量与Wang和Tian(2019)的推导结果相似,具有一致的变量选择和估计。通过蒙特卡罗研究说明了先验自适应群套索估计的性能。最后,在选择的风险因素必须能够对测试资产以及其他因素进行定价的前提下,将估计器应用于选择资产定价模型中相关风险因素的集合。实证研究表明,先前的自适应组套索产生了一组因素,这些因素解释了收益的时间变化,同时提供了接近于零的时延估计。我们还展示了这些因素是如何随着时间的推移而演变的。我们发现Fama和French (1993), (Carhart, 1997), (Fama和French, 2015)和(Hou, Xue, and Zhang, 2015)的典型因子模型不足以将测试资产的横截面与剩余的交易因子一起定价,并且我们发现在任何给定时间需要包含的定价因子的数量接近20。
The Prior Adaptive Group Lasso with an Application to Risk Factor Selection
This paper develops and presents the prior adaptive group lasso for generalized linear models. The prior adaptive group lasso is an extension of the prior lasso developed by Jiang, He, and Zhang (2016), which allows for the use of existing information from previous or similar studies in the estimation of the lasso. We demonstrate that the estimator exhibits consistent variable selection and estimation similarly to those derived in Wang and Tian (2019) under at set of similar conditions. The performance of the prior adaptive group lasso estimator is illustrated in a Monte Carlo study. Finally, the estimator is applied in selecting the set of relevant risk factors in asset pricing models conditioning on the fact that the chosen factors must be able to price the test assets as well as the remaining factors. The empirical study shows that the prior adaptive group lasso yields a set of factors that explain the time variation in the returns while delivering 𝛼 estimates close to zero. We also show how this set of factors has evolved over time. We find that the canonical factor models of Fama and French (1993), (Carhart, 1997), (Fama and French, 2015), and (Hou, Xue, and Zhang, 2015) are insufficient to price the cross section of the test assets together with the remaining traded factors, and we find that the required number of pricing factors to include at any given time is closer to 20.