Wednesday, January 9, 2019 - 14:00 in V3-201
A Machine Learning Approach to Portfolio Risk Management
A talk in the Bielefeld Stochastic Afternoon series by
Damir Filipovic from EPFL and Swiss Finance Institute
| Abstract: |
We develop a general framework for dynamic portfolio risk management in discrete time. We learn the replicating martingale of an insurance asset-liability portfolio from a finite sample using machine learning techniques. The learned replicating martingale outperforms nested Monte Carlo based portfolio risk estimates in the context of a limited computing budget. This is joint work with Lucio Fernandez-Arjona.
|
Back
