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- W2948198845 abstract "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." @default.
- W2948198845 created "2019-06-14" @default.
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- W2948198845 date "2019-06-09" @default.
- W2948198845 modified "2023-10-01" @default.
- W2948198845 title "Machine learning with kernels for portfolio valuation and risk management" @default.
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