Items related to Machine Learning for Asset Pricing and Management

Machine Learning for Asset Pricing and Management - Softcover

Henry Schellhorn (author)|Tianmin Kong (author)

 
9781611977899: Machine Learning for Asset Pricing and Management
Softcover
ISBN 10: 1611977894 ISBN 13: 9781611977899
Publisher: SIAM - Society for Industrial and Applied Mathematics, 2024

Synopsis

This textbook covers the latest advances in machine-learning methods for asset management and asset pricing. Recent research in deep learning applied to finance shows that some of the techniques used by asset managers (usually kept confidential) result in better investments than the more standard techniques. Cutting-edge material is integrated with mainstream finance theory and statistical methods to provide a coherent narrative. Coverage includes

  • an original machine learning method for strategic asset allocation;
  • the no-arbitrage theory applied to a wide portfolio of assets as well as other asset management methods, such as mean-variance, Bayesian methods, linear factor models, and strategic asset allocation; and
  • techniques other than neural networks, such as nonlinear and linear programming, principal component analysis, reinforcement learning, dynamic programming, and clustering.

The authors use technical and nontechnical arguments to accommodate readers with different levels of mathematical preparation. Readers will find the book easy to read yet rigorous and a large number of exercises.

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About the Author

Henry Schellhorn is a professor of mathematics at Claremont Graduate University, where he directs the financial engineering program. He was an assistant professor of finance at the University of Lausanne. Before entering academia, he worked in the financial software industry in California and Switzerland. His publications are in financial engineering, stochastic analysis, operations research, and epidemiology and he has two patents.

Tianmin Kong is a Ph.D. candidate in engineering and computational mathematics at Claremont Graduate University and California State University, Long Beach.

"About this title" may belong to another edition of this title.

Publisher
SIAM - Society for Industrial and Applied Mathematics
Publication date
2024
Language
English
ISBN 10 
1611977894
ISBN 13 
9781611977899
Binding
Paperback
Number of pages
277