ParDen: Surrogate Assisted Hyper-Parameter Optimisation for Portfolio Selection.
Terence L. van ZylMatthew WoolwayAndrew PaskaramoorthyPublished in: CoRR (2021)
Keyphrases
- portfolio selection
- hyperparameters
- model selection
- cross validation
- closed form
- support vector
- random sampling
- bayesian framework
- bayesian inference
- prior information
- maximum likelihood
- sample size
- em algorithm
- noise level
- incremental learning
- parameter settings
- maximum a posteriori
- robust optimization
- financial markets
- genetic algorithm
- multiple objectives
- incomplete data
- parameter space
- missing values