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

This dataset contains all the information necessary for reproducing the tables in the paper "A machine learning approach to portfolio pricing and risk management for high dimensional problems".

The raw benchmark data can be found in the Zenodo dataset "Benchmark and training data for replicating financial and insurance examples" (https://zenodo.org/record/3837381). To the extend necessary, only summary data from that dataset is used in this dataset.

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.