cspun/MLE-SRISK cspun/MLE-SRISK

  • Stars
    star
    11
  • Rank 1,694,829 (Top 34 %)
  • Language
    Python
  • Created almost 4 years ago
  • Updated over 2 years ago
Twitter logo Share LinkedIn logo Share Facebook logo Share
cspun/MLE-SRISK
github

cspun

Reviews

There are no reviews yet. Be the first to send feedback to the community and the maintainers!

Repository Details

This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach" (by R. Liu and C.S. Pun)

More Repositories

1

BEO-EIVar-and-AdjBO

Data and source codes for the paper ``Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios" by Godeliva Petrina Marisu and Chi Seng Pun (Nanyang Technological University, Singapore), where we developed a new acquisition function EIVar that targets high expected improvement with low improvement variance and we proposed adjustments to the Bayesian optimization to account for the sequential feature of portfolio constructions.
R
1
star