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Die Dissertation befasst sich mit der Anwendung von statistischem und maschinellem Lernen zur Modellierung der … Verlustquote bei Ausfall (LGD). Im Forschungsgebiet der LGD-Modellierung gibt es eine Reihe von Fragen und Problemen, die bisher in … Prognosefähigkeit von Schätzmethoden entscheidend sind und welche Schätzmethode für die LGD-Modellierung am besten geeignet ist …
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We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...
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This paper documents a significantly negative cross-sectional relation between machine forecast disagreement (MFD) and future stock returns. MFD measures divergence of opinion among investors about stock value based on the dispersion in machines' expected return forecasts and provides an...
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