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
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.