A machine learning approach to portfolio pricing and risk management for high-dimensional problems-Reference-Cited by-同舟云学术

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

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Fernandez Arjona Lucio,Filipovic Damir

Publisher

Elsevier BV

Reference39 articles.

1. Trust-region methods on riemannian manifolds;P-A Absil;Foundations of Computational Mathematics,2007

2. Valuing the surrender options embedded in a portfolio of italian life guaranteed participating policies: a least squares monte carlo approach;Giulia Andreatta;8th Annual International Conference,2003

3. Risk estimation via regression;Mark Broadie;Operations Research,2015

4. Machine Learning With Kernels for Portfolio Valuation and Risk Management

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Reinforcement learning and stochastic optimisation;Finance and Stochastics;2021-12-23

2. Machine learning with kernels for portfolio valuation and risk management;Finance and Stochastics;2021-11-22

3. Machine Learning With Kernels for Portfolio Valuation and Risk Management;SSRN Electronic Journal;2019

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