Applications of Gaussian Process Latent Variable Models in Finance

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Nirwan, Rajbir-Singh; Bertschinger, Nils;
(2018)
  • Subject: Quantitative Finance - Portfolio Management | Computer Science - Computational Engineering, Finance, and Science

Estimating covariances between financial assets plays an important role in risk management. In practice, when the sample size is small compared to the number of variables, the empirical estimate is known to be very unstable. Here, we propose a novel covariance estimator... View more
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