Support vector regression with piecewise loss function and its application in investment decision
具分段损失函数的支持向量机回归及在投资决策中的应用

The selection of loss function plays an important role to the performance of support vector regression(SVR) model.This paper proposes an SVR model with piecewise loss function,which gives different penalty values for deviation in different regions.The SVR model is applied in the problem of investment decision to estimate the joint probability density function of yield vector and the optimal portfolio.Experiments show that its performance is superior to that of standard SVR method.