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SUMMARY:The Virtue of Complexity Everywhere
DTSTART:20220503T120000
DTEND:20220503T130000
DTSTAMP:20260510T022910Z
UID:e68d9dff5e90a8d30251f669b4c144309b1a2338c4a271abe6995c9a
CATEGORIES:Conferences - Seminars
DESCRIPTION:Kangying Zhou\, Yale University\, PhD student\nWe empirically 
 investigate the performance of return prediction models in the high comple
 xity regime\, i.e.\,  when the number of parameters exceeds the number of
  observations. Using data across diverse markets and asset classes\, we do
 cument a ``virtue of complexity'": return prediction $R^2$ and optimal por
 tfolio Sharpe ratio generally increase with a model parameterization for a
 ll asset classes and the vast majority of single security returns in our s
 ample. \nThe virtue of complexity is present even in extremely data-scarc
 e environments\, e.g.\, for predictive models with less than twenty observ
 ations and tens of thousands of predictors—observed patterns of the depe
 ndence of out-of-sample performance on model complexity exhibit a striking
  consistency with theoretical predictions. 
LOCATION:UniL Campus\, Extra 126
STATUS:CONFIRMED
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