Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?

Joseph A. Cerniglia; Frank J. Fabozzi

doi:10.3905/jpm.2020.1.184

Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?

Joseph A. Cerniglia and Frank J. Fabozzi

The Journal of Portfolio Management November 2020, 47 (1) 107-118; DOI: https://doi.org/10.3905/jpm.2020.1.184

Joseph A. Cerniglia

is an adjunct professor in the Courant School of Mathematics at New York University in New York, NY, and a visiting scholar in Psychology at the University of Pennsylvania in Philadelphia, PA

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Frank J. Fabozzi

is a professor of finance at the EDHEC Business School in Nice, France

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November 2020

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Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?