Loss function-based change point detection in risk measures.

Emese Lazar Shixuan Wang Xiaohan Xue

Published in: Eur. J. Oper. Res. (2023)

Keyphrases

loss function
risk measures
change point detection
non stationary
sequential data
outlier detection
normalized maximum likelihood
pairwise
support vector
portfolio optimization
risk averse
machine learning
computational complexity
fixed length
portfolio selection