2 papers
q-fin.RM2020
Deep learning Profit & Loss
Pietro Rossi, Flavio Cocco, Giacomo Bormetti
Building the future profit and loss (P&L) distribution of a portfolio holding, among other assets, highly non-linear and path-dependent derivatives is a challenging task. We provid…
cond-mat2002
Portfolio Selection with Probabilistic Utility, Bayesian Statistics and Markov Chain Monte Carlo
P. Rossi, M. Tavoni, F. Cocco +1
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no long…