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The Journal of Financial Data Science

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Interpretable Machine Learning for Diversified Portfolio Construction

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner
The Journal of Financial Data Science Summer 2021, 3 (3) 31-51; DOI: https://doi.org/10.3905/jfds.2021.1.066
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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Dimitri Marinelli
is a financial data scientist and Marie Skłodowska-Curie Fellow at Munich Re Markets in Munich, Germany
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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 Zurich University of Applied Sciences in Winterthur, Switzerland
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Article Information

vol. 3 no. 3 31-51
DOI 
https://doi.org/10.3905/jfds.2021.1.066

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online August 2, 2021.

Article Versions

  • Latest version (June 14, 2021 - 02:43).
  • You are viewing the most recent version of this article.
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© 2021 Pageant Media Ltd

Author Information

  1. Markus Jaeger
    1. is a senior investment expert at Munich Re Markets in Munich, Germany. (majaeger{at}munichre.com)
  2. Stephan Krügel
    1. is a senior investment expert at Munich Re Markets in Munich, Germany. (skruegel{at}munichre.com)
  3. Dimitri Marinelli
    1. is a financial data scientist and Marie Skłodowska-Curie Fellow at Munich Re Markets in Munich, Germany. (dmarinelli{at}munichre.com)
  4. Jochen Papenbrock
    1. is the CEO of Firamis GmbH in Oberursel, Germany. (jp{at}firamis.de)
  5. Peter Schwendner
    1. is the director of the Institute of Wealth & Asset Management at Zurich University of Applied Sciences in Winterthur, Switzerland. (scwp{at}zhaw.ch)
  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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The Journal of Financial Data Science
Vol. 3, Issue 3
Summer 2021
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Interpretable Machine Learning for Diversified Portfolio Construction
Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock, Peter Schwendner
The Journal of Financial Data Science Jul 2021, 3 (3) 31-51; DOI: 10.3905/jfds.2021.1.066

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Interpretable Machine Learning for Diversified Portfolio Construction
Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock, Peter Schwendner
The Journal of Financial Data Science Jul 2021, 3 (3) 31-51; DOI: 10.3905/jfds.2021.1.066
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  • Article
    • Abstract
    • THE DATASET
    • THE STRATEGIES
    • THE BACKTESTS
    • ROBUSTNESS OF THE STRATEGIES—BOOTSTRAPPED DATASET
    • INTERPRETABLE ML
    • CONCLUSIONS AND OUTLOOK
    • ACKNOWLEDGMENTS
    • APPENDIX
    • REFERENCES
  • Info & Metrics
  • PDF

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