Empirical Asset Pricing via Machine Learning


We synthesize the field of machine learning with the canonical problem of empirical asset pricing: Measuring asset risk premia. We use the widely understood empirical setting of predicting the time series and cross section of... [ view full abstract ]


  1. Shihao Gu (University of Chicago)
  2. Bryan Kelly (Yale University)
  3. Dacheng Xiu (University of Chicago)

Topic Areas

Asset Allocation , Machine Learning


TH-P-BU » Machine Learning (14:30 - Thursday, 19th July, Burke Theater)

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