NDLI: Machine Learning With Kernels for Portfolio Valuation and Risk Management

Content Provider	Scilit
Author	Boudabsa, Lotfi Filipovic, Damir
Copyright Year	2019
Description	Journal: SSRN Electronic Journal We introduce a computational framework for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the replicating martingale of a portfolio from a finite sample of its terminal cumulative cash flow. The learned replicating martingale is given in closed form thanks to a suitable choice of the kernel. We develop an asymptotic theory and prove convergence and a central limit theorem. We also derive finite sample error bounds and concentration inequalities. Numerical examples show good results for a relatively small training sample size.
Related Links	http://arxiv.org/pdf/1906.03726 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3401539
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3401539
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2019-06-09
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Operations Research and Management Science Dynamic Portfolio Valuation Kernel Ridge Regression Learning Theory Reproducing Kernel Hilbert Space Portfolio Risk Management
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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