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Neural networks and value at risk
Arimond, Alexander; Borth, Damian S.; Hoepner, Andreas G. F. - 2020
Persistent link: https://www.econbiz.de/10012418364
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Deep learning, predictability, and optimal portfolio returns
Babiak, Mykola; Baruník, Jozef - 2020
Persistent link: https://www.econbiz.de/10012542701
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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
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A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Fernandez-Arjona, Lucio; Filipović, Damir - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 982-1019
Persistent link: https://www.econbiz.de/10013463383
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Stock picking with machine learning
Wolff, Dominik; Echterling, Fabian - In: Journal of forecasting 43 (2024) 1, pp. 81-102
Persistent link: https://www.econbiz.de/10014443186
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Artificial intelligence in asset management
Bartram, Söhnke M.; Branke, Jürgen; Motahari, Mehrshad - 2020 - This revision 01 April 2020
Persistent link: https://www.econbiz.de/10012217351
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Essays on robust portfolio management
Plachel, Lukas - 2019
Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …
Persistent link: https://www.econbiz.de/10012152145
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State-dependent stock selection in index tracking : a machine learning approach
Bradrania, Reza; Pirayesh Neghab, Davood; Shafizadeh, … - In: Financial markets and portfolio management 36 (2022) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10013175191
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A hybrid grey based artificial neural network and C&R tree for project portfolio selection
Razi, Farshad Faezy; Shariat, Hooman - In: Benchmarking : an international journal ; BIJ 24 (2017) 3, pp. 651-665
Persistent link: https://www.econbiz.de/10011704963
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Asset return prediction via machine learning
Zhang, Liangliang - In: Journal of mathematical finance 9 (2019) 4, pp. 691-697
Persistent link: https://www.econbiz.de/10012433454