A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Lucio Fernandez-Arjona, Damir Filipović
| Year of publication: |
2022
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| Authors: | Fernandez-Arjona, Lucio ; Filipović, Damir |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 4, p. 982-1019
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| Subject: | dimensionality reduction | nested Monte Carlo | neural networks | replicating portfolios | solvency capital | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Künstliche Intelligenz | Artificial intelligence | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12358 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463383