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Machine learning risk models
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10012237599
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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Essays on robust portfolio management
Plachel, Lukas - 2019
-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on … systematischen Risiko auftreten. Kapitel 2 führt eine Kovarianz-Schätzmethode ein, welche auf charakteristische Unternehmens …
Persistent link: https://www.econbiz.de/10012152145
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Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
Guo, Weiwei; Zhang, Wei-Guo; Gong, Zaiwu - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 3, pp. 469-496
Persistent link: https://www.econbiz.de/10015079798
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Portfolio selection with second order uncertain dominance constraint
Huang, Xiaoxia; Meng, Xue; Xu, Xiaozhu - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 4, pp. 561-575
Persistent link: https://www.econbiz.de/10015079805
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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 …
Persistent link: https://www.econbiz.de/10012052380
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Deep hedging
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben - In: Quantitative finance 19 (2019) 8, pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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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 …
Persistent link: https://www.econbiz.de/10012219260
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Derivatives of feed-forward neural networks and their application in real-time market risk management
Ratku, Antal; Neumann, Dirk - In: OR spectrum : quantitative approaches in management 44 (2022) 3, pp. 947-965
Persistent link: https://www.econbiz.de/10013440686