Value-at-risk support vector machine: stability to outliers
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Publication:405683
DOI10.1007/S10878-013-9678-9zbMATH Open1304.90181OpenAlexW2050490796MaRDI QIDQ405683FDOQ405683
Authors: Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev 
Publication date: 5 September 2014
Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10878-013-9678-9
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optimizationclassificationsupport vector machinerisk managementvalue-at-riskconditional value-at-risk
Cites Work
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- Robust optimization
- Robust classification and regression using support vector machines
- Statistical decision problems. Selected concepts and portfolio safeguard case studies
- Training a Support Vector Machine in the Primal
- COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE
- Robust data mining
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- Robust generalized eigenvalue classifier with ellipsoidal uncertainty
Cited In (8)
- Extended Robust Support Vector Machine Based on Financial Risk Minimization
- An outlier map for support vector machine classification
- Robust \(\nu \)-support vector machine based on worst-case conditional value-at-risk minimization
- Learning rates of kernel-based robust classification
- An intelligent data-driven model for disease diagnosis based on machine learning theory
- An algorithm of detecting outliers in SVR
- On risk measuring in the variance-gamma model
- Proximal gradient method for huberized support vector machine
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