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On solving robust log-optimal portfolio: A supporting hyperplane approximation approach.
Chung-Han Hsieh
Published in:
Eur. J. Oper. Res. (2024)
Keyphrases
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hyperplane
support vector
data points
feature space
support vector machine
kernel function
training samples
convex hull
principal components
maximum margin
svm classifier
input space
portfolio selection
support vectors
supervised learning
machine learning
data sets