Machine learning for asset managers
著者
書誌事項
Machine learning for asset managers
（Cambridge elements, . Elements in quantitative finance / edited by Riccardo Rebonato）
Cambridge University Press, 2020
- : pbk
大学図書館所蔵 件 / 全4件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Bibliography: p. [130]-135
内容説明・目次
内容説明
Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
目次
- 1. Introduction
- 2. Denoising and detoning
- 3. Distance metrics
- 4. Optimal clustering
- 5. Financial labels
- 6. Feature importance analysis
- 7. Portfolio construction
- 8. Testing set overfitting.
「Nielsen BookData」 より