题目：Risk Estimation, Predictability and Asset Pricing via Machine Learning

演讲人：周国富（圣路易斯华盛顿大学 Frederick Bierman and James E. Spears讲席教授）

时间：2023年6月27日（周二）12:00-13:00

地点：同济大厦A楼505室

同步#腾讯会议：723565614

会议密码：205640

链接：https://meeting.tencent.com/dm/Vyro0CnSTb8N

摘要：The seminar will discuss first how to estimate the time-varying risk premium of the stock market, and examine some of the latest research on predicting the stock market with machine learning tools, including the role of the ESG and option trading activities in affecting the market returns. Then the seminar will focus on cross-sectional risk estimation by proposing new Fama-MacBeth regression approaches and a new class of risk momentum. Finally, the seminar will discuss the economic objectives of machine learning and impact of important economic announcements such as FOMC and earnings.

简介：周国富教授的研究兴趣包括资产定价测试、资产配置、资产组合优化、贝叶斯学习与模型评价、计量经济学、利率期限结构及企业项目实物期权。他在Journal of Finance，Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等国际著名刊物发表过多篇学术论文，同时合著了Financial Economics一书并参与了包括Advanced Fixed-Income Valuation Tools和Q-finance等书籍的编写。