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      講座:Equity Premium Prediction with Bagged Machine Learning

      發布者:金融系    發布時間:2020-10-29

      題 目:Equity Premium Prediction with Bagged Machine Learning

      嘉 賓:姜富偉  教授、博導  中央財經大學金融學院

      主持人:     助理教授  上海交通大學安泰經濟與管理學院

      時 間:2020114日(周三)14:30-16:00

       點:ZOOM 會議(校內師生如需會議號和密碼,請于114日中午12點前發送電郵至finance@acem.sjtu.edu.cn獲?。?span style="font-family:"> 

      內容簡介:

      By introducing a novel weighted bagging estimation method, we conduct a comprehensive study on the time series predictability of equity premium with machine learning and economic variables. Empirically, we show that bagged machine learning sharply improves predictive performance of equity premium compared to traditional methods, with significant monthly out-of-sample R2 up to 2.91% and annual utility gains up to 3.58%. Further analysis shows that the improved predictive performance benefits from better performance during economic recession and market downturn, as well as increased diversity and built-in shrinkage.

      演講人簡介

      姜富偉現任中央財經大學金融學院教授、博導、龍馬青年學者、金融工程系主任,研究領域包括資產定價、行為金融、金融科技、國際金融等,在金融學國際國內頂級期刊Journal of Financial Economics、Review of Financial Studies、《金融研究》等發表論文30余篇,主持國家和北京市自然科學基金項目4項。研究成果被ESI評為經濟管理類全球前1%最高被引用論文,被《哈佛商業評論》、《清華金融評論》等轉載,榮獲亞洲金融協會最佳論文獎、國際財務管理協會最佳論文獎等眾多國際學術獎勵榮譽。擔任國家自然科學基金通訊評審、教育部學位中心評審專家、英文SSCI來源期刊Annals of Economics and Finance編委和30多本中英文學術期刊評審。

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