Seminar 217, Risk Management: Sustainable Responsible Investing and the Cross-Section of Return and Risk

Seminar 217, Risk Management: Sustainable Responsible Investing and the Cross-Section of Return and Risk

Risk Seminar
Feb 19, 2019, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Speakers: Saad Mouti, UC Berkeley (Speaker - Featured)
The identification of factors that predict the cross-section of stock returns has been a focus of asset pricing theory for decades. We address this challenging problem for both equity performance and risk, the latter through the maximum drawdown measure. We test a variety of regression-based models used in the field of supervised learning including penalized linear regression, tree-based models,...