Algorithmic learning from financial predictions
We study how financial predictions can be used in learning algorithms for problems such as portfolio selection and derivatives pricing, from the perspective of minimizing regret; the worst-case loss (across all possible price paths) against some optimal benchmark model with superior information. Unl...
| Main Author: | |
|---|---|
| Published: |
London School of Economics and Political Science (University of London)
2017
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.713432 |