Search Results for author: Tingting Ye

Found 2 papers, 0 papers with code

Asset Allocation via Machine Learning and Applications to Equity Portfolio Management

no code implementations1 Nov 2020 Qing Yang, Zhenning Hong, Ruyan Tian, Tingting Ye, Liangliang Zhang

In this paper, we document a novel machine learning based bottom-up approach for static and dynamic portfolio optimization on, potentially, a large number of assets.

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A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps

no code implementations15 May 2018 Tingting Ye, Liangliang Zhang

In this paper, we introduce a large class of convergent numerical methods, based on (linear) basis function regression technique, to approximate the solution to a forward-backward stochastic differential equation with jumps (FBSDEJ hereafter).


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