每日简报

交易摩擦下风险调整决策的效用加权预测与校准AI 解读

Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper treats forecasting as an econometric input to a constrained decision problem. A predictive distribution induces a decision rule through a utility objective combined with an explicit friction operator consisting of both a cost functional and…

概率靶向因子分析AI 解读

We develop Probabilistic Targeted Factor Analysis (PTFA), a likelihood-based framework for constructing latent factors that are explicitly targeted to variables of economic interest. PTFA provides a probabilistic foundation for Partial Least Squares, allowing supervised factor extraction under uncertainty. The model is estimated via a fast expectation maximization algorithm and naturally accommodates missing data, mixed-frequency observations, stochastic volatility, and…