Investable and Interpretable Machine Learning for Equities
By Andrew Li, Zachary Simon, David Turkington, State Street Associates
Dec 18, 2020
We put the stock-selection skill of machine learning models to the test, with an intense focus on making sure their selections are both investable and interpretable - and therefore, believable.
1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.