Risk budget portfolios with convex Non-negative Matrix Factorization

1 code implementation • 6 Apr 2022 • Bruno Spilak, Wolfgang Karl Härdle

We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF).

Tail-risk protection: Machine Learning meets modern Econometrics

1 code implementation • 7 Oct 2020 • Bruno Spilak, Wolfgang Karl Härdle

Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived.

BIG-bench Machine Learning Econometrics