Damir Filipovic, EPFL, Switzerland
A Machine Learning Approach to Portfolio Risk Management
We develop a general framework for dynamic portfolio risk management in discrete time. We learn the replicating martingale of a portfolio from a finite sample using machine learning techniques. The learned replicating martingale outperforms nested Monte Carlo based portfolio risk estimates in the context of a limited computing budget. This is work in progress with Lucio Fernandez-Arjona.
Damir Filipović holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne (EPFL) and a Swiss Finance Institute Senior Chair. He also acts as head of the Swiss Finance Institute @ EPFL.
He holds a Ph.D. in mathematics from ETH Zurich and has been a faculty member of the University of Vienna, the University of Munich and Princeton University. He also worked for the Swiss Federal Office of Private Insurance as co-developer of the Swiss Solvency Test.
He is on the editorial board of several academic journals. His research focus is in quantitative finance and risk management. His papers have been published in a variety of academic journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.