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Author: Groupe HEC (Jouy-en-Josas, Yvelines). Direction de la recherche Publisher: ISBN: 9782854188288 Category : Languages : en Pages : 41
Book Description
This paper explores the theoretical and empirical implications of time-varying and unobservable betas. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters. Even though the conditional CAPM holds, standard OLS tests can reject the model if the evolution of investor's expectations is not properly modelled. We use our methodology to explain returns on the twenty-five size and book-to-market sorted portfolios. Our learning version of the conditional CAPM produces pricing errors that are significantly smaller than standard conditional or unconditional CAPM and the model is not rejected by the data.
Author: Groupe HEC (Jouy-en-Josas, Yvelines). Direction de la recherche Publisher: ISBN: 9782854188288 Category : Languages : en Pages : 41
Book Description
This paper explores the theoretical and empirical implications of time-varying and unobservable betas. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters. Even though the conditional CAPM holds, standard OLS tests can reject the model if the evolution of investor's expectations is not properly modelled. We use our methodology to explain returns on the twenty-five size and book-to-market sorted portfolios. Our learning version of the conditional CAPM produces pricing errors that are significantly smaller than standard conditional or unconditional CAPM and the model is not rejected by the data.
Author: Emmanuel Jurczenko Publisher: John Wiley & Sons ISBN: 1786305445 Category : Business & Economics Languages : en Pages : 460
Book Description
This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Author: Tendayi Viki Publisher: Pearson UK ISBN: 1292186909 Category : Business & Economics Languages : en Pages : 185
Book Description
The Lean Product Lifecycle is a playbook that provides frameworks, methods and tools to develop innovative new products and business models, while managing your core portfolio. Follow the 6 key phases of a product’s life - idea, explore, validate, grow, sustain and retire – and discover how to develop products according to their life stage and ensure the right investment for each.. For each stage there is a step-by-step guide of product development best practices using examples and case studies from several companies and start-ups. Using the tools and templates in this book, you’ll be able to: Take a new product from idea to scale within a market. Understand the difference between executing on products that are already successful in the market and searching for profitable business models for new products. Use the right tools and methods for validating new products ideas and business models. Understand how to manage mature products and retire old products using lean innovation principles. Discover how lessons from lean start-ups can transform your business. The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.
Author: Publisher: ISBN: Category : Capital assets pricing model Languages : en Pages :
Book Description
"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process involved in forming these beliefs has normative implications for asset-pricing tests. This paper develops an equilibrium model of learning about time-varying beta. In the model, the capital asset pricing model (CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas without accounting for the investors' learning process. The empirical implication for asset-pricing tests is that the factor loadings must be estimated as latent variables. We provide an empirical application of this methodology to the cross section of returns on ten book-to-market and ten size-sorted portfolios. For these assets, the data do not reject a learning-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three-factor model"--Federal Reserve Bank of New York web site.
Author: Aske Plaat Publisher: Springer Nature ISBN: 3030592383 Category : Computers Languages : en Pages : 330
Book Description
In this textbook the author takes as inspiration recent breakthroughs in game playing to explain how and why deep reinforcement learning works. In particular he shows why two-person games of tactics and strategy fascinate scientists, programmers, and game enthusiasts and unite them in a common goal: to create artificial intelligence (AI). After an introduction to the core concepts, environment, and communities of intelligence and games, the book is organized into chapters on reinforcement learning, heuristic planning, adaptive sampling, function approximation, and self-play. The author takes a hands-on approach throughout, with Python code examples and exercises that help the reader understand how AI learns to play. He also supports the main text with detailed pointers to online machine learning frameworks, technical details for AlphaGo, notes on how to play and program Go and chess, and a comprehensive bibliography. The content is class-tested and suitable for advanced undergraduate and graduate courses on artificial intelligence and games. It's also appropriate for self-study by professionals engaged with applications of machine learning and with games development. Finally it's valuable for any reader engaged with the philosophical implications of artificial and general intelligence, games represent a modern Turing test of the power and limitations of AI.
Author: Gabriel Wyner Publisher: Harmony ISBN: 038534810X Category : Foreign Language Study Languages : en Pages : 352
Book Description
NATIONAL BESTSELLER • For anyone who wants to learn a foreign language, this is the method that will finally make the words stick. “A brilliant and thoroughly modern guide to learning new languages.”—Gary Marcus, cognitive psychologist and author of the New York Times bestseller Guitar Zero At thirty years old, Gabriel Wyner speaks six languages fluently. He didn’t learn them in school—who does? Rather, he learned them in the past few years, working on his own and practicing on the subway, using simple techniques and free online resources—and here he wants to show others what he’s discovered. Starting with pronunciation, you’ll learn how to rewire your ears and turn foreign sounds into familiar sounds. You’ll retrain your tongue to produce those sounds accurately, using tricks from opera singers and actors. Next, you’ll begin to tackle words, and connect sounds and spellings to imagery rather than translations, which will enable you to think in a foreign language. And with the help of sophisticated spaced-repetition techniques, you’ll be able to memorize hundreds of words a month in minutes every day. This is brain hacking at its most exciting, taking what we know about neuroscience and linguistics and using it to create the most efficient and enjoyable way to learn a foreign language in the spare minutes of your day.
Author: Nizar Bouguila Publisher: Springer Nature ISBN: 3030991423 Category : Technology & Engineering Languages : en Pages : 303
Book Description
This book focuses on recent advances, approaches, theories, and applications related Hidden Markov Models (HMMs). In particular, the book presents recent inference frameworks and applications that consider HMMs. The authors discuss challenging problems that exist when considering HMMs for a specific task or application, such as estimation or selection, etc. The goal of this volume is to summarize the recent advances and modern approaches related to these problems. The book also reports advances on classic but difficult problems in HMMs such as inference and feature selection and describes real-world applications of HMMs from several domains. The book pertains to researchers and graduate students, who will gain a clear view of recent developments related to HMMs and their applications.
Author: Wojciech W. Gasparski Publisher: Routledge ISBN: 135129038X Category : Philosophy Languages : en Pages : 195
Book Description
Praxiology is the study of working and doing from the point of view of effectiveness. It has three components: analysis of concepts involving purposive actions; critique of modes of action from the viewpoint of efficiency; and normative advisory aspects in recommen-dations for increasing human efficacy. This sixth volume of the Praxiology series fo-cuses on action learning. Learning from distinguishable action is surprisingly different than learning from a sub-ject expert in human or book form. For those who have worked with and in action learn-ing, the latest form is always distinguishably different from a former experience. Action learning programs are not, in general, intended to tackle puzzles, namely, questions to which an answer may be said to exist even if that answer is difficult to find; action learn-ing is intended to help to develop the ability to tackle problems or opportunities, of which different persons, all experienced, intelligent, and motivated, might well advocate differ-ent courses of action, all reasonable. The essentials of action learning, according to this volume, are: there can be no learning unless the participant receives feedback about his/her performance; partici-pants learn only of their own volition and never at the will of others; the volition to learn is most readily engendered by the lure of success or by the fear of calamity. Building upon these essentials, the authors view action learning as a process of inquiry begin-ning with the experience of not knowing what to do next, and finding that an answer is not available from current expertise. All chapters in this volume are sound contributions to the continuing debate on the processes of learning from distinguishable action. Action Learning is intriguing reading for sociologists, philosophers, managers, and research-ers of all disciplines.
Author: Groupe HEC (Jouy-en-Josas, Yvelines). Direction de la recherche
Author: Groupe HEC (Jouy-en-Josas, Yvelines). Direction de la recherche
Author: Emmanuel Jurczenko
Author: Tendayi Viki
Author: 
Author: Aske Plaat
Author: Gabriel Wyner
Author: Tobias Adrian
Author: Nizar Bouguila
Author: Heather Fry
Author: Wojciech W. Gasparski