讲座问题
Can Mutual Funds Exploit the Anomaly Zoo? Evidence from a Customized Machine Learning Framework
讲座时间
12月26日10:00-11:00
讲座所在
新主楼 A618
主讲人
舒腾嘉
主理单位
经济治理学院
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讲座提要
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.
主讲人简介
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.
