2 papers
q-fin.MF2020
Asset Allocation via Machine Learning and Applications to Equity Portfolio Management
Qing Yang, Zhenning Hong, Ruyan Tian +2
In this paper, we document a novel machine learning based bottom-up approach for static and dynamic portfolio optimization on, potentially, a large number of assets. The methodolog…
q-fin.CP2018
A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps
Tingting Ye, Liangliang Zhang
In this paper, we introduce a large class of convergent numerical methods, based on (linear) basis function regression technique, to approximate the solution to a forward-backward…