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intelligence (XAI) techniques use simpler decision rules to approximate the prediction process and/or outcomes of ANNs (or DNNs …). However, these decision rules may not conform to domain knowledge, which limits their usefulness. This study proposes a …-output relationship of an ANN (or DNN) is fitted by decision rules using a random forest approach. Then, domain knowledge is extracted …
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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...
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