Yang Bai

University of Missouri, Finance Department

PhD Candidate

MO

United States

SCHOLARLY PAPERS

2

DOWNLOADS

364

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Machine Learning Classification Methods and Portfolio Allocation: An Alternative Probabilistic Perspective

Number of pages: 99 Posted: 10 Sep 2020 Last Revised: 17 Nov 2021
Yang Bai and Kuntara Pukthuanthong
University of Missouri, Finance Department and University of Missouri, Columbia
Downloads 220 (191,503)

Abstract:

Loading...

Artificial neural network, big data, binomial test, classification, dropout additive regression tree, gradient boosting machine, information theory, machine learning, portfolio allocation, out-of-sample prediction, random forest, return state transition

2.

Three Hundred Years of Monthly Return Predictability: A Comprehensive Examination and Transfer Learning

Number of pages: 72 Posted: 09 Mar 2022 Last Revised: 15 Mar 2022
Yang Bai
University of Missouri, Finance Department
Downloads 144 (276,189)

Abstract:

Loading...

Certainty Equivalent Return, Out-of-sample R-Squared, Rare Events, Return Predictability, Transfer Learning