1 citations · 1 across the 5 of their papers we have counts for
6 papers
Neural Control Systems
Paolo Colusso, Damir Filipović
We propose a function-learning methodology with a control-theoretical foundation. We parametrise the approximating function as the solution to a control system on a reproducing-ker…
Sparse Portfolio Selection via Topological Data Analysis based Clustering
Anubha Goel, Damir Filipović, Puneet Pasricha
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction. Our asset s…
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Damir Filipović, Puneet Pasricha
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic informati…
Ensemble learning for portfolio valuation and risk management
Lotfi Boudabsa, Damir Filipović
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 portfo…
Mean-Covariance Robust Risk Measurement
Viet Anh Nguyen, Soroosh Shafiee, Damir Filipović +1
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covari…
Conditional Density Models for Asset Pricing
Damir Filipović, Lane P. Hughston, Andrea Macrina
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some s…