Interaction between financial risk measures and machine learning methods.
Jun-ya GotohAkiko TakedaRei YamamotoPublished in: Comput. Manag. Sci. (2014)
Keyphrases
- machine learning methods
- risk measures
- portfolio optimization
- machine learning
- machine learning algorithms
- machine learning approaches
- statistical methods
- ensemble methods
- robust optimization
- portfolio selection
- decision making
- risk averse
- learned knowledge
- portfolio management
- learning algorithm
- risk management
- combinatorial optimization
- financial markets