The Virtue of Complexity in Return Prediction

Bryan Kelly of Yale School of Management and AQR Capital Management presents his paper, "The Virtue of Complexity in Return Prediction" followed by discussion by Ron Kaniel of Simon Business School, University of Rochester at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference. Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G'79, GRW'86 and Ken Levy, WG'76, G'82, the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania is dedicated to the advancement of quantitative finance, at the intersection of theory and practice, through the creation and dissemination of innovative knowledge.