no code implementations • 1 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.
no code implementations • 15 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).