no code implementations • 27 Jan 2023 • Kevin Lam, Christian Walder, Spiridon Penev, Richard Nock
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.
no code implementations • 5 Aug 2021 • Spiridon Penev, Pavel V. Shevchenko, Wei Wu
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.
no code implementations • 21 Aug 2019 • Spiridon Penev, Pavel Shevchenko, Wei Wu
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.