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Courses taught by this person (2)
Related publications (30)
Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.
This course aims to give an introduction to the application of machine learning to finance, focusing on the problems of portfolio optimization and hedging, as well as textual analysis. A particular fo
This class is an introduction to Machine Learning and High Dimensional Statistics in Finance. We start with purely empirical approach, focusing first on high dimensional regressions then moving to ker
We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...
Much of the extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in ...
We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, in ...
