Using financial risk measures for analyzing generalization performance of machine learning models

DOI10.1016/J.NEUNET.2014.05.006zbMATH Open1325.68199DBLPjournals/nn/TakedaK14OpenAlexW2069826088WikidataQ45956937 ScholiaQ45956937MaRDI QIDQ889281FDOQ889281

Takafumi Kanamori, Akiko Takeda

Publication date: 6 November 2015

Published in: Neural Networks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.neunet.2014.05.006

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zbMATH Keywords

support vector machineminimax probability machinegeneralization performancefinancial risk measure

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Statistical methods; risk measures (91G70)

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Cited In (2)

• On the application of an augmented Lagrangian algorithm to some portfolio problems
• Expected shortfall: heuristics and certificates

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