AgPa #49: Machine Learning in Quant Asset Management
How Can Machine Learning Advance Quantitative Asset Management? (2023)
David Blitz, Tobias Hoogteijling, Harald Lohre, Philip Messow
The Journal of Portfolio Management Quantitative Tools 2023, URL/SSRN
This week’s AGNOSTIC Paper is a broad overview about machine learning in investment management. The authors outline the benefits and pitfalls of machine learning compared to “traditional” econometrics and present several use cases in the world of (quantitative) asset management. They also provide ideas for research governance to keep those powerful methods under control.
- Benefits and pitfalls of machine learning in finance
- Use cases of machine learning in asset management
- Keeping it under control: research governance and protocol