Showing 1 - 10 of 49
Persistent link: https://www.econbiz.de/10012671691
Persistent link: https://www.econbiz.de/10012692367
Persistent link: https://www.econbiz.de/10012670743
Persistent link: https://www.econbiz.de/10012670909
Persistent link: https://www.econbiz.de/10012672211
Persistent link: https://www.econbiz.de/10012667980
Persistent link: https://www.econbiz.de/10012670604
Persistent link: https://www.econbiz.de/10012670907
Persistent link: https://www.econbiz.de/10012671800
We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given in closed form. The method is fast and...
Persistent link: https://www.econbiz.de/10013192065