Feb 19, 2019 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
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,...
Speakers: Saad Mouti, UC Berkeley (Speaker - Featured)