[Download] Tải Machine learning risk models – Tải về File Word, PDF

Machine learning risk models

Machine learning risk models
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We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on empirical backtests, we compare the performance of these machine learning risk models to other constructions, including statistical risk models, risk models based on fundamental industry classifications, and also those utilizing multilevel clustering based industry classifications.

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Machine learning risk models

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Nội dung Text: Machine learning risk models

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