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Filipović, Damir - 2012

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …

Persistent link: https://www.econbiz.de/10009558387

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de/10014236083

Machine learning with kernels for portfolio valuation and risk management

Boudabsa, Lotfi; Filipović, Damir - 2019

We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a...

Persistent link: https://www.econbiz.de/10012052380

Real estate investment : market volatility and optimal holding period under risk aversion

Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: Economic modelling 58 (2016), pp. 543-555

Persistent link: https://www.econbiz.de/10011647530

Optimal positioning in financial derivatives under mixture distributions

Hentati-Kaffel, R.; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 115-124

Persistent link: https://www.econbiz.de/10011645569

Equilibrium of financial derivative markets under portfolio insurance constraints

Bertrand, Philippe; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 278-291

Persistent link: https://www.econbiz.de/10011645654

Dynamic sentiment asset pricing model

Yang, Chunpeng; Zhang, Rengui - In: Economic modelling 37 (2014), pp. 362-367

Persistent link: https://www.econbiz.de/10010417680

Higher order expectations in sentiment asset pricing model

Yang, Chunpeng; Cai, Chuangqun - In: Economic modelling 39 (2014), pp. 95-100

Persistent link: https://www.econbiz.de/10010419984

Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals

Zhou, Liyun; Yang, Chunpeng - In: Economic modelling 79 (2019), pp. 130-140

Persistent link: https://www.econbiz.de/10012199089

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Fernandez-Arjona, Lucio; Filipović, Damir - 2020

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...

Persistent link: https://www.econbiz.de/10012219260