Title: Machine Learning in Quantitative Finance

 

Abstract: Motivated by solving a rare-event simulation problem for credit risk in quantitative finance, an relative entropy minimization with constraints is exploited. It turns out this problem has been tackled by machine learning society such as support vector machine been a typical example. In collaboration with academics and fintech startups, we demonstrate several case studies of utilizing machine learning/AI techniques to portfolio optimization problems arising from robo advisors.