Seminar 217, Risk Management: Sparse Low Rank Dictionary Learning

Seminar | September 5 | 11 a.m.-1 p.m. | 639 Evans Hall

 Speaker: Robert Anderson, UC Berkeley

 Center for Risk Management Research

Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types of factors.

 jschellenberg@berkeley.edu