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The Journal of Financial Data Science

The Journal of Financial Data Science

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Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios

Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel
The Journal of Financial Data Science Spring 2021, 3 (2) 51-69; DOI: https://doi.org/10.3905/jfds.2021.1.056
Jochen Papenbrock
is the CEO of Firamis GmbH in Oberursel, Germany
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Peter Schwendner
is the director of the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland
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Markus Jaeger
is a senior investment expert at Munich Re Markets in Munich, Germany
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Stephan Krügel
is a senior investment expert at Munich Re Markets in Munich, Germany
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Article Information

vol. 3 no. 2 51-69
DOI 
https://doi.org/10.3905/jfds.2021.1.056

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online May 3, 2021.

Article Versions

  • Latest version (March 13, 2021 - 03:32).
  • You are viewing the most recent version of this article.
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© 2021 Pageant Media Ltd

Author Information

  1. Jochen Papenbrock
    1. is the CEO of Firamis GmbH in Oberursel, Germany. (jp{at}firamis.de)
  2. Peter Schwendner
    1. is the director of the Institute of Wealth & Asset Management at the Zurich University of Applied Sciences in Winterthur, Switzerland. (scwp{at}zhaw.ch)
  3. Markus Jaeger
    1. is a senior investment expert at Munich Re Markets in Munich, Germany. (majaeger{at}munichre.com)
  4. Stephan Krügel
    1. is a senior investment expert at Munich Re Markets in Munich, Germany. (skruegel{at}munichre.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Vol. 3, Issue 2
Spring 2021
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Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios
Jochen Papenbrock, Peter Schwendner, Markus Jaeger, Stephan Krügel
The Journal of Financial Data Science Apr 2021, 3 (2) 51-69; DOI: 10.3905/jfds.2021.1.056

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Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios
Jochen Papenbrock, Peter Schwendner, Markus Jaeger, Stephan Krügel
The Journal of Financial Data Science Apr 2021, 3 (2) 51-69; DOI: 10.3905/jfds.2021.1.056
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    • MATRIX EVALUATIONS OF FINANCIAL CORRELATION MATRIXES
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