Seminar 217, Risk Management: Sparse Low Rank Dictionary Learning

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Submitted by Brandon Eltiste on August 10, 2017
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Location:
639 Evans Hall
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Time:
Tuesday, September 5, 2017 - 11:00
About this Event

Speaker: Robert Anderson, UC Berkeley

Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types of factors.