Innosuisse Innovation project on Deep Learning & Neural Networks: Autonomous AI agents for the development of novel trading strategies in asset management based on self-play

Private Alpha Switzerland is a leading developer of investment strategies for asset management in Switzerland in the field of algorithm-based and AI-assisted investing. As an investment advisor, you are responsible for two fund products in this area. This opens up this highly sophisticated investment approach to a broad investor base.

Interpretable machine learning for diversified portfolio construction

In this article, the authors construct a pipeline to benchmark hierarchical risk parity (HRP) relative to equal risk contribution (ERC) as examples of diversification strategies allocating to liquid multi-asset futures markets with dynamic leverage (volatility target). The authors use interpretable machine learning concepts (explainable AI) to compare the robustness of the strategies and to back […]