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LegendreTron: Uprising Proper Multiclass Loss Learning
Existing methods do this by fitting an inverse canonical link function which monotonically maps $\mathbb{R}$ to $[0, 1]$ to estimate probabilities for binary problems.
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
In the worst case scenario, the optimal robust strategy can be obtained in a semi-analytical form as a solution of a system of nonlinear equations.
Myopic robust index tracking with Bregman divergence
Typically, a quadratic function is used to define the tracking error of a portfolio and the look back approach is applied to solve the index tracking problem.
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