【题目】依据持仓股票选择公募基金：一种机器学习方法（Selecting mutual funds from the stocks they hold: a machine learning approach）

【时间】2022年5月10日（周二）16:00

【地点】腾讯会议：998-313-561（会议密码内部通知，参会人员请输入“实名+单位”进入会场，会场谢绝一切广告信息！）

【主讲人】李斌

【主持人】张鹏

【摘要】We select mutual funds in real time by combining individual fund holdings and a large number (94) of stock characteristics to compute fund-level exposures to characteristics on the basis of the stocks they hold. The majority of funds are exposed---both positively and negatively---to approximately 40-50 characteristics. In addition, fund performance is non-linearly related to fund characteristics and their interactions. This feature proves important when we predict fund performance, as machine learning methods such as boosted regression trees (BRTs) significantly outperform standard linear frameworks. Our BRT-generated forecasts encompass the ones generated by the predictors of mutual fund performance that have been proposed in the literature so far. 

【主讲人简介】李斌，现为武汉大学bet36365路检测中心教授、博士生导师，担任金融系支部书记、副主任和金融研究中心主任，兼任中国金融学年会理事、金融科技研究与教育五十人论坛成员等。他是特许金融分析师（CFA）持证人，兼任武汉大学教育发展基金会投资咨询委员会委员等。研究方向为金融科技、投资管理和机器学习等。他具备金融+科技的跨学科背景与研究能力，在《Journal of Accounting Research》、《Artificial Intelligence》、《Journal of Machine Learning Research》、《管理科学学报》、《中国工业经济》、ICML、IJCAI等金融会计和人工智能类期刊会议上发表论文。主持国家自然科学基金等项目，已结题自科基金青年项目后评估为特优。研究获得海通证券等转载应用，获评中国金融学年会优秀论文二等奖等。