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Nonparametric Sharpe Ratio Function Estimation in Heteroscedastic Regression Models via Convex Optimization.
Seung-Jean Kim
Johan Lim
Joong-Ho Won
Published in:
AISTATS (2018)
Keyphrases
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convex optimization
regression model
linear model
low rank
model selection
gaussian process
primal dual
total variation
regression methods
least squares
support vector regression
image processing
pairwise
portfolio optimization