A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Lucio Fernandez-Arjona, Damir Filipović
| Year of publication: |
2022
|
|---|---|
| Authors: | Fernandez-Arjona, Lucio ; Filipović, Damir |
| 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 |
freely available
| 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