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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models
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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick
Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy
Random Matrix Theory, Denoising technique, Student's t-copulas, Large Dimension, Risk Modeling, Operational Risk
File name: SSRN-id2862988.pdf
random matrix theory (RMT), denoising technique, t-copulas, large dimension, risk modeling, operational risk
grouped t-copula, statistical clustering, correlation and dependence measures, tail dependence, copula calibration
Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers
foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy
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