Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Machine learning with kernels for portfolio valuation and risk
  management   We introduce a simulation method for dynamic portfolio valuation and risk
management building on machine learning with kernels. We learn the dynamic
value process of a portfolio from a finite sample of its cumulative cash flow.
The learned value process is given in closed form thanks to a suitable choice
of the kernel. We show asymptotic consistency and derive finite sample error
bounds under conditions that are suitable for finance applications. Numerical
experiments show good results in large dimensions for a moderate training
sample size.

36
The categories of this paper are: cmp-lg
19
The categories of this paper are: eess
13
The categories of this paper are: quant-ph
7
The categories of this paper are: hep-th
32
The categories of this paper are: atom-ph
27
The categories of this paper are: comp-gas
16
The categories of this paper are: stat
5
The categories of this paper are: gr-qc
37
The categories of this paper are: supr-con
18
The categories of this paper are: econ
0
The categories of this paper are: hep-ph
8
The categories of this paper are: hep-ex
12
The categories of this paper are: nucl-th
2
The categories of this paper are: math
15
The categories of this paper are: nucl-ex
25
The categories of this paper are: patt-sol