Reproducibility data for tables in "A machine learning approach to portfolio pricing and risk management for high dimensional problems"

<p>This dataset contains all the information necessary for reproducing the tables in the paper&nbsp;&quot;A machine learning approach to portfolio pricing and risk management for high dimensional problems&quot;.</p> <p>The raw benchmark data can be found in the Zenodo dataset &quot;Benchmark and training data for replicating financial and insurance examples&quot; (https://zenodo.org/record/3837381). To the extend necessary, only summary data from that dataset is used in this dataset.</p> <p>The dataset includes a jupyter notebook file that explains what the different files contain, and provides sample code to analyze the information and reproduce the tables.</p>