讲座标题
Can Mutual Funds Exploit the Anomaly Zoo? Evidence from a Customized Machine Learning Framework
讲座功夫
12月26日10:00-11:00
讲座地址
新主楼 A618
主讲人
舒腾嘉
主办单元
经济治理学院
参加方式
直接参与参加
讲座撮要
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.
