Learning Robust Portfolio Strategies
Seminar in Insurance and Economics
SPEAKER: Josef Teichmann (ETH Zurich).
TITLE: Learning Robust Portfolio Strategies.
ABSTRACT: We apply machine learning techniques to solve robust portfolio optimization problems under transaction costs. Insights from Mathematical Finance as well as from generative adversarial learning are pivotal to formulate the machine learning problem properly. Several surprising showcases are presented. (Joint work with Florian Krach and Hanna Wutte.)