Machine learning with kernels for portfolio valuation and risk management

被引:4
|
作者
Boudabsa, Lotfi [1 ]
Filipovic, Damir [1 ,2 ]
机构
[1] Ecole Polytech Fed Lausanne, CH-1015 Lausanne, Switzerland
[2] Swiss Finance Inst, Zurich, Switzerland
关键词
Dynamic portfolio valuation; Kernel ridge regression; Learning theory; Reproducing kernel Hilbert space; Portfolio risk management; REPLICATING PORTFOLIO; THEOREM; SPACE; RATES;
D O I
10.1007/s00780-021-00465-4
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a suitable choice of the kernel. We show asymptotic consistency and derive finite-sample error bounds under conditions that are suitable for finance applications. Numerical experiments show good results in large dimensions for a moderate training sample size.
引用
收藏
页码:131 / 172
页数:42
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