Octavio Ruiz Lacedelli

Columbia University

116th and Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

2

DOWNLOADS

301

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models

Number of pages: 43 Posted: 23 Jul 2019 Last Revised: 22 Nov 2019
Martin B. Haugh and Octavio Ruiz Lacedelli
Imperial College Business School and Columbia University
Downloads 151 (223,152)

Abstract:

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2.

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices

Forthcoming, Journal of Financial Econometrics
Number of pages: 39 Posted: 06 Nov 2019 Last Revised: 23 Feb 2020
Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli and Matt Stern
Kuwait University, Columbia University, Columbia University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 150 (224,334)
Citation 2

Abstract:

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robo-advising, reinforcement learning, portfolio selection, probably approximately correct-Markov decision processes (PAC-MDP)