Value-at-risk support vector machine: stability to outliers

DOI10.1007/s10878-013-9678-9zbMath1304.90181OpenAlexW2050490796MaRDI QIDQ405683

Stan Uryasev, Michael Zabarankin, Peter Tsyurmasto

Publication date: 5 September 2014

Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10878-013-9678-9

zbMATH Keywords

classificationoptimizationvalue-at-riskrisk managementsupport vector machineconditional value-at-risk

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Combinatorial optimization (90C27)

Related Items (5)

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Uses Software

• Portfolio Safeguard

Cites Work

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• COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE
• Robust Data Mining
• Training a Support Vector Machine in the Primal

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