Lotfi Boudabsa

Ecole Polytechnique Fédérale de Lausanne - School of Basic Sciences

Lausanne

Switzerland

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Scholarly Papers (1)

1.

Machine Learning With Kernels for Portfolio Valuation and Risk Management

Swiss Finance Institute Research Paper No. 19-34
Number of pages: 39 Posted: 18 Jun 2019 Last Revised: 16 Jan 2020
Lotfi Boudabsa and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne - School of Basic Sciences and Ecole Polytechnique Fédérale de Lausanne
Downloads 341 (91,409)

Abstract:

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dynamic portfolio valuation, kernel ridge regression, learning theory, reproducing kernel Hilbert space, portfolio risk management