EDHEC Speaker Series – Season 5 | EDHEC Business School – David E. Rapach

Watch the full recording of Session 8 of the EDHEC Business School “The Future of Finance” Speaker Series, featuring David E. Rapach, Financial Economist & Policy Adviser Federal Reserve Bank of Atlanta Topic: Anatomy of Machine Learning-Based Portfolio Performance Can machine learning enhance market excess return forecasts when faced with a large set of predictors? In this session, David E. Rapach presented recent advances in applying elastic net–based machine learning methods to time-series return forecasting. The talk showed how refining forecast combinations using the elastic net significantly improved out-of-sample performance while reducing overfitting. These methods provided highly competitive market excess return forecasts and valuable insights for both researchers and practitioners in finance. Speaker: 🎙David E. Rapach, Financial Economist & Policy Adviser, Federal Reserve Bank of Atlanta Co-Moderators: 🎙 Abraham Lioui - PhD, Professor of Finance, EDHEC Business School 🎙 Laurent Deville - PhD, Academic Director of Master in Finance Programmes, EDHEC Business School 🎙 Thomas Reynes - Student of the MSc in Financial Engineering, EDHEC Business School Original event details 📅Date: Tuesday, February 3 – 6:00 PM (Paris Time) 👉Don't miss the upcoming sessions - Subscribe to the newsletter here https://share-eu1.hsforms.com/2R2Oc_x6-Q8aaAyu6eE5NLA2ewev0