A machine learning approach to portfolio pricing and risk management for high-dimensional problems

2020/01/01 by Lucio Fernandez Arjona, Damir Filipović, Damir Filipovic · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Engineering · #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · doi:10.2139/ssrn.3588376

crossref issued 2020/01/01 · crossref published 2020/01/01 · openalex publication_date 2020/01/01 · crossref created 2020/05/02 · crossref deposited 2023/02/26 · crossref indexed 2025/09/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/14

Citations

• Affine processes and applications in finance
• Gradient-based learning applied to document recognition
• Multilayer feedforward networks are universal approximators
• Approximating Continuous Functions by ReLU Nets of Minimal Width

Cited by

• Damir Filipović [wikipedia]