Seminar 217, Risk Management: Sparse Low Rank Dictionary Learning

Seminar 217, Risk Management: Sparse Low Rank Dictionary Learning

Risk Seminar
Sep 5, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Robert Anderson, UC Berkeley (Speaker - Featured)
Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types...