What can you expect from the event?
Bryan T. Kelly is a Professor of Finance at Yale School of Management and head of machine learning at AQR Capital Management.
His primary research fields are asset pricing, machine learning, and financial econometrics. Prof. Kelly is particularly interested in issues related to volatility, tail risk, and correlation modeling in financial markets; financial sector systemic risk; financial intermediation; financial networks; and expected return.
A recognized expert in his field, Prof. Kelly will provide an insight into his latest research paper: "The Virtue of Complexity in Return Prediction".
The main hypothesis of his paper is that, contrary to conventional wisdom, market return prediction models should use "complex" rather than simple models. He establishes the rationale for using machine learning for modeling expected returns.
The paper not only provides theoretical insights into the expected out-of-sample behavior of highly complex machine learning portfolios, but also demonstrates the empirical behavior of machine learning-based trading strategies.
Take advantage of this opportunity to discuss with our guest, hear about state-of-the art research, network and enjoy some snacks in a nice atmosphere.
Date: September 26, 2023
Time: 2:30 – 3:30 pm (Central European Time)
Location: TUM Main Campus and/or virtual
The registration for this event has ended!