Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization.
Torsten MörstedtBernhard LutzDirk NeumannPublished in: Eur. J. Oper. Res. (2024)
Keyphrases
- cross validation
- transfer learning
- cross sectional
- portfolio optimization
- model selection
- learning tasks
- factor analysis
- stock market
- labeled data
- support vector
- hyperparameters
- machine learning
- semi supervised learning
- reinforcement learning
- active learning
- image denoising
- training set
- collaborative filtering
- learning algorithm
- text categorization
- denoising
- machine learning algorithms
- semi supervised
- text classification
- multi task
- text mining
- regularization parameter
- natural language processing
- target domain
- pattern recognition
- genetic algorithm
- unlabeled data
- stock exchange
- stock price
- evolutionary algorithm
- nearest neighbor
- cost function
- linear combination