Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
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Cites work
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- A practical guide to robust portfolio optimization
- A theoretical foundation of portfolio resampling
- A tutorial on ν‐support vector machines
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Artificial intelligence in financial markets. Cutting edge applications for risk management, portfolio optimization and economics
- Bagged Pretested Portfolio Selection
- Bagging predictors
- Deep learning for limit order books
- scientific article; zbMATH DE number 5960587 (Why is no real title available?)
- Interaction between financial risk measures and machine learning methods
- Low resolution face recognition based on support vector data description
- Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
- Model selection in kernel ridge regression
- Non-linear interactions and exchange rate prediction: empirical evidence using support vector regression
- Piecewise linear regularized solution paths
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Program evaluation and causal inference with high-dimensional data
- Recent developments in robust portfolios with a worst-case approach
- Robust asset allocation
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust Portfolio Selection Problems
- Robust portfolios: contributions from operations research and finance
- Support vector data description
- SVDD-Based Pattern Denoising
- The Minimum Covering Sphere Problem
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