An Empirical Comparison of Cross-Validation Procedures for Portfolio Selection.
Andrew PaskaramoorthyTerence L. van ZylTim GebbiePublished in: CIFEr (2022)
Keyphrases
- cross validation
- portfolio selection
- model selection
- hyperparameters
- variable selection
- support vector
- financial markets
- training set
- cross validated
- generalization error
- unseen data
- robust optimization
- optimal portfolio
- information criterion
- multiple objectives
- training data
- ls svm
- objective function
- decision making
- machine learning