3 papers
cs.LG2025
Growing the Efficient Frontier on Panel Trees
Lin William Cong, Guanhao Feng, Jingyu He +1
We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance a…
econ.EM2019
Factor Investing: A Bayesian Hierarchical Approach
Guanhao Feng, Jingyu He
This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-vary…
stat.ML2018
Deep Learning for Predicting Asset Returns
Guanhao Feng, Jingyu He, Nicholas G. Polson
Deep learning searches for nonlinear factors for predicting asset returns. Predictability is achieved via multiple layers of composite factors as opposed to additive ones. Viewed i…