14 citations · 15 across the 3 of their papers we have counts for
3 papers
cs.LG2023
Learning the Efficient Frontier
Philippe Chatigny, Ivan Sergienko, Ryan Ferguson +2
The efficient frontier (EF) is a fundamental resource allocation problem where one has to find an optimal portfolio maximizing a reward at a given level of risk. This optimal solut…
cs.LG2021★ 1 cited
Robust and Active Learning for Deep Neural Network Regression
Xi Li, George Kesidis, David J. Miller +3
We describe a gradient-based method to discover local error maximizers of a deep neural network (DNN) used for regression, assuming the availability of an "oracle" capable of provi…
q-fin.CP2018★ 14 cited
Deeply Learning Derivatives
Ryan Ferguson, Andrew Green
This paper uses deep learning to value derivatives. The approach is broadly applicable, and we use a call option on a basket of stocks as an example. We show that the deep learning…