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The Misalignment between R2 and Sharpe Ratio: An Imbalanced Data Perspective

https://doi.org/10.2139/ssrn.4769748
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Utility-Based Regression
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SMOTE for Regression
inferredcites →https://doi.org/10.1007/s10994-020-05900-9openalex-extracted
Imbalanced regression and extreme value prediction
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Density-based weighting for imbalanced regression
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Autoencoder Asset Pricing Models
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A five-factor asset pricing model
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Characteristics are covariances: A unified model of risk and return
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Shrinking the cross-section
inferredcites →https://doi.org/10.1017/s0022109019000589openalex-extracted
Model Comparison with Sharpe Ratios
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
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Asset Pricing with Omitted Factors
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Empirical Asset Pricing via Machine Learning
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Anomalies and False Rejections
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhac012openalex-extracted
Risk Price Variation: The Missing Half of Empirical Asset Pricing
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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Digesting Anomalies: An Investment Approach
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Editor's Choice … and the Cross-Section of Expected Returns
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A Taxonomy of Anomalies and Their Trading Costs
inferredcites →https://doi.org/10.1093/rfs/hhx019openalex-extracted
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhy131openalex-extracted
Replicating Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-extracted
Dissecting Characteristics Nonparametrically
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Pattern Recognition and Machine Learning
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Geometrical and Statistical Properties of Systems of Linear Inequalities with Applications in Pattern Recognition
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Learning from Imbalanced Data
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Resampling strategies for regression
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The Elements of Statistical Learning: Data Mining, Inference, and Prediction
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Size and Book-to-Market Factors in Earnings and Returns
inferredcites →https://doi.org/10.1111/jofi.12365openalex-extracted
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12612openalex-extracted
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.12883openalex-extracted
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1111/jofi.13298openalex-extracted
The Virtue of Complexity in Return Prediction
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Does Alternative Data Improve Financial Forecasting? The Horizon Effect
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Forest through the Trees: Building Cross‐Sections of Stock Returns
inferredcites →https://doi.org/10.1145/2907070openalex-extracted
A Survey of Predictive Modeling on Imbalanced Domains
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Neural Networks and the Bias/Variance Dilemma
inferredcites →https://doi.org/10.1214/009053607000000677openalex-extracted
Kernel methods in machine learning
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The Cross-section of Expected Stock Returns
inferredcites →https://doi.org/10.1561/104.00000112openalex-extracted
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.1613/jair.953openalex-extracted
SMOTE: Synthetic Minority Over-sampling Technique
inferredcites →https://doi.org/10.2139/ssrn.2820700openalex-extracted
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.3726609openalex-extracted
Maximizing the Sharpe Ratio: A Genetic Programming Approach
inferredcites →https://doi.org/10.2139/ssrn.4501707openalex-extracted
Financial Machine Learning
inferredcites →https://doi.org/10.2307/2329366openalex-extracted
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.3386/w29344openalex-extracted
Business News and Business Cycles
inferredcites →https://doi.org/10.3386/w30805openalex-extracted
Growing the Efficient Frontier on Panel Trees
inferredcites →https://doi.org/10.3386/w31689openalex-extracted
Complexity in Factor Pricing Models
inferredcites →https://doi.org/10.3386/w4997openalex-extracted
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.37214/jofdata.17openalex-extracted
Does Alternative Data Improve Financial Forecasting? The Horizon Effect
inferredcites →https://doi.org/10.48550/arxiv.1412.6980openalex-extracted
Adam: A Method for Stochastic Optimization
inferredcites →https://doi.org/10.48550/arxiv.1811.03804openalex-extracted
Gradient Descent Finds Global Minima of Deep Neural Networks
inferredcites →https://doi.org/10.48550/arxiv.1811.03962openalex-extracted
A Convergence Theory for Deep Learning via Over-Parameterization
inferredcites →https://doi.org/10.48550/arxiv.1905.12106openalex-extracted
EM Converges for a Mixture of Many Linear Regressions
inferredcites →https://doi.org/10.48550/arxiv.2006.02601openalex-extracted
On the Minimax Optimality of the EM Algorithm for Learning Two-Component Mixed Linear Regression
inferredcites →https://doi.org/10.48550/arxiv.2006.07529openalex-extracted
Rethinking the Value of Labels for Improving Class-Imbalanced Learning
inferredcites →https://doi.org/10.48550/arxiv.2102.09554openalex-extracted
Delving into Deep Imbalanced Regression
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