讲座题目：依据持仓股票选择公募基金：一种机器学习方法（Selecting mutual funds from the stocks they hold: a machine learning approach）

讲座时间：2022年5月19日（星期四）10:00 – 11:30

主讲人: 李斌，武汉大学经济与管理学院教授、博士生导师。金融研究中心主任，武汉大学教育发展基金会投资咨询委员会委员，中国金融学年会理事，金融科技研究与教育五十人论坛成员，特许金融分析师（CFA）持证人。

研究领域：金融科技、投资管理和机器学习等，在《Journal of Accounting Research》《Artificial Intelligence》《Journal of Machine Learning Research》《管理科学学报》《中国工业经济》、ICML、IJCAI等金融会计和人工智能类期刊会议上发表多篇论文；主持国家自然科学基金等项目，已结题自科基金青年项目后评估为特优；研究成果获得海通证券等转载应用，获评中国金融学年会优秀论文二等奖等。

内容简介：

We select mutual funds in real time by combining individual fund holdings and a large number (94) of stock characteristics to compute fund-level exposures to characteristics on the basis of the stocks they hold. The majority of funds are exposed---both positively and negatively---to approximately 40-50 characteristics. In addition, fund performance is non-linearly related to fund characteristics and their interactions. This feature proves important when we predict fund performance, as machine learning methods such as boosted regression trees (BRTs) significantly outperform standard linear frameworks. Our BRT-generated forecasts encompass the ones generated by the predictors of mutual fund performance that have been proposed in the literature so far.

会议接入方式：腾讯会议

会议号：787-555-249

会议密码：220519