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

来源：

FINANCE AND STOCHASTICS | 2022年 / 26卷 / 02期

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

页码：131 / 172

页数：42

共 50 条

[31] IT RISK MANAGEMENT AND APPLICATION PORTFOLIO MANAGEMENT
Mozsar, Kovacsne A. L.
Michelberger, P.
POLISH JOURNAL OF MANAGEMENT STUDIES, 2018, 17 (02): : 112 - 122
[32] Risk-Sensitive Portfolio Management by using Distributional Reinforcement Learning
Harnpadungkij, Thammasorn
Chaisangmongkon, Warasinee
Phunchongharn, Phond
2019 IEEE 10TH INTERNATIONAL CONFERENCE ON AWARENESS SCIENCE AND TECHNOLOGY (ICAST 2019), 2019, : 110 - 115
[33] History path dependent optimal control and portfolio valuation and management
Aubin, JP
Haddad, G
POSITIVITY, 2002, 6 (03) : 331 - 358
[34] History Path Dependent Optimal Control and Portfolio Valuation and Management
J.-P. Aubin
G. Haddad
Positivity, 2002, 6 : 331 - 358
[35] MORTALITY PORTFOLIO RISK MANAGEMENT
Cox, Samuel H.
Lin, Yijia
Tian, Ruilin
Zuluaga, Luis F.
JOURNAL OF RISK AND INSURANCE, 2013, 80 (04) : 853 - 890
[36] Portfolio Theory and Risk Management
Sanders, David
ANNALS OF ACTUARIAL SCIENCE, 2015, 9 (01) : 187 - +
[37] Classes of kernels for machine learning: A statistics perspective
Genton, MG
JOURNAL OF MACHINE LEARNING RESEARCH, 2002, 2 (02) : 299 - 312
[38] Online Sequential Extreme Learning Machine With Kernels
Scardapane, Simone
Comminiello, Danilo
Scarpiniti, Michele
Uncini, Aurelio
IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2015, 26 (09) : 2214 - 2220
[39] A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection
Kisiel, Damian
Gorse, Denise
2021 THE 4TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND INTELLIGENT SYSTEMS, CIIS 2021, 2021, : 67 - 71
[40] Learning about tail risk: Machine learning and combination with regularization in market risk management
Wang, Shuai
Wang, Qian
Lu, Helen
Zhang, Dongxue
Xing, Qianyi
Wang, Jianzhou
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 2025, 133

← 1 2 3 4 5 →