论文标题
用于投资组合估值和风险管理的合奏学习
Ensemble learning for portfolio valuation and risk management
论文作者
论文摘要
我们介绍了一种用于动态投资组合评估和回归树风险管理的合奏学习方法。我们从其累积现金流的有限样本中学习了衍生产品组合的动态价值过程。估计器以封闭形式给出。该方法是快速准确的，并且可以随样本尺寸和路径空间维度的尺寸缩放。该方法也可以应用于百慕大风格的选项。数值实验在中等维度问题中显示出良好的结果。
We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given in closed form. The method is fast and accurate, and scales well with sample size and path space dimension. The method can also be applied to Bermudan style options. Numerical experiments show good results in moderate dimension problems.
