Stephan Krügel

Munich Reinsurance Company, Financial Solutions

Königinstr. 107

Munich, 80802

Germany

SCHOLARLY PAPERS

2

DOWNLOADS
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Scholarly Papers (2)

1.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Number of pages: 19 Posted: 25 Feb 2020
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, Firamis and Zurich University of Applied Sciences
Downloads 1,413 (14,678)
Citation 1

Abstract:

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Asset Allocation, explainable AI, XAI, Machine Learning, HRP, Risk Parity

2.

Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios

Number of pages: 20 Posted: 02 Oct 2020
Firamis, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions
Downloads 388 (85,754)

Abstract:

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Asset Allocation, Portfolio Construction Explainable AI, XAI, Machine Learning, Hierarchical Risk Parity, Monte Carlo, GPU, CUDA, Scenario Analysis, Simulation, Convex Optimization, Clustering, Risk-Based Optimization