Simula@BI: André B.M. Souza
Simula@BI invites Assistant Professor André B.M. Souza, ESADE Business School to give a seminar titled "How to Bet on Winners" (with Christian Brownlees) within the field of econometrics.
- Starts:12:00, 12 March 2024
- Ends:13:00, 12 March 2024
- Location:BI - campus Oslo, B3 inner area - next to meeting room B3i-108 or Zoom
- Enrolment deadline:The registration deadline is midnight the day before the event. If you are an external visitor, please talk to the reception to let you into the meeting room.
- Contact:Siri Johnsen (siri.johnsen@bi.no)
Souza's research interests include forecasting, financial econometrics, machine learning, empirical finance, and empirical macroeconomics.
Abstract -"How to Bet on Winners"
We introduce a decision theoretic framework to formalize the problem of stock selection for characteristic-sorted portfolios. We derive optimal selection strategies for a class of portfolio misclassification losses. The optimal strategies take the form of a stock return classification rule that depends on the risk preferences of the investor. Selecting stocks on the basis of expected-return sorts, a ubiquitous practice in the empirical finance literature, is also an optimal rule in special cases of the general framework. In an empirical application we find that the new strategies paired with machine learning methods lead to more efficient asset allocation.
More information will come.