講座題目
Can Mutual Funds Exploit the Anomaly Zoo? Evidence from a Customized Machine Learning Framework
講座時(shí)間
12月26日10:00-11:00
講座地點(diǎn)
新主樓 A618
主講人
舒騰嘉
主辦單位
經(jīng)濟(jì)管理學(xué)院
參與方式
直接到場(chǎng)參與
講座提要
I propose a joint framework to study how mutual funds incorporate stock-level anomalies into portfolio choices. Rather than inferring skill solely from realized returns, our approach evaluates fund portfolios on a common anomaly payoff surface estimated from stock characteristics.
主講人簡(jiǎn)介
Tengjia Shu is an Assistant Professor of Finance in University of Illinois Chicago. Sheearned my Ph.D. degree in Business Administration (Finance) from University otlowa. Her main research interests are investment, asset pricing, machine learning,and labor economics.
