Stephan Krügel

Munich Reinsurance Company, Financial Solutions

Königinstr. 107

Munich, 80802

Germany

  • Munich Reinsurance Company, Financial Solutions

SCHOLARLY PAPERS

4

DOWNLOADS

0

TOTAL CITATIONS

0

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

'Adaptive Seriational Risk Parity' and other Extensions for Heuristic Portfolio Construction using Machine Learning and Graph Theory

Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Fall 2021, jfds.2021.1.078; DOI: https://doi.org/10.3905/jfds.2021.1.078
Posted: 18 Mar 2021 Last Revised: 07 Oct 2021
Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
Zurich University of Applied Sciences, NVIDIA GmbH, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions
Downloads 0 (1,346,207)

Abstract:

Loading...

Hierarchical Risk Parity, portfolio allocation, hierarchical structure, seriation

2.

Interpretable Machine Learning for Diversified Portfolio Construction

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 08 Jan 2021 Last Revised: 24 Jun 2021
Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences

Abstract:

Loading...

asset allocation, portfolio construction, explainable artificial intelligence, Hierarchical Risk Parity

3.

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

Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Spring 2021, jfds.2021.1.056; DOI: https://doi.org/10.3905/jfds.2021.1.056
Posted: 02 Oct 2020 Last Revised: 05 Apr 2021
Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel
NVIDIA GmbH, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions

Abstract:

Loading...

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

4.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. Interpretable Machine Learning for Diversified Portfolio Construction. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 25 Feb 2020 Last Revised: 14 Jun 2021
Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences

Abstract:

Loading...

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