Finance Research Seminar - Andreas Neuhierl

Andreas Neuhierl - Washington University - St Louis

Vendredi 29 novembre 2024 - 11h45 à 13h00

Extranef 126

Conférencière(s) ou conférencier(s): Andreas Neuhierl Washington University - St Louis

The Uncertainty of Machine Learning Predictions in Asset Pricing

We develop novel methodology to construct forecast confidence intervals (FCI) for machine learning predictions in asset pricing. We show FCIs for machine learning predictions obtained from sophisticated ML methods, such as neural networks, can be accurately approximated by simpler nonparametric methods such as B-splines. We prove that these FCIs provide correct coverage probabilities. In addition, we also establish the validity of a version of the wild bootstrap. We illustrate the practical use of the obtained confidence intervals in the context of a portfolio selection application for an uncertainty averse investor. 

Publié du 22 août 2024 au 30 novembre 2024
Departement Finance
Visibilité:
publiée