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Found 10 papers, 1 papers with code
Sparse Portfolio Selection via Topological Data Analysis based Clustering
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction.
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Exploiting the Bayesian nature of GPR, we introduce the mean-variance optimal portfolio with respect to the predictive uncertainty distribution of the expected stock returns.
Ensemble learning for portfolio valuation and risk management
We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees.
Mean-Covariance Robust Risk Measurement
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization.
Affine Pricing and Hedging of Collateralized Debt Obligations
Apart from being analytically tractable, this model has the feature that it captures the dynamics of super-senior tranches, thanks to the catastrophic component.
A machine learning approach to portfolio pricing and risk management for high-dimensional problems
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale.
A Term Structure Model for Dividends and Interest Rates
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment.
Polynomial Jump-Diffusion Models
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance.
Exact Smooth Term-Structure Estimation
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse.
Linear Credit Risk Models
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors.
