In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure testing efficiency of expected utility (EU) discuss asymptotic behavior proposed test statistic under high-dimensional regime, namely when number assets $p$ increases at same rate as sample size $n$ such that their ratio $p/n$ approaches a posi...

In two-group discriminant analysis, the Neyman-Pearson Lemma establishes that the ROC curve for an arbitrary linear function is everywhere below the ROC curve for the true likelihood ratio. The weighted area between these two curves can be used as a risk function for finding good discriminant functions. The weight function corresponds to the objective of the analysis, for example to minimize th...

The paper presents a support vector method for estimating probabilities in a real world problem: the prediction of probability of survival in critically ill patients. The standard procedure with Support Vectors Machines uses Platt’s method to fit a sigmoid that transforms continuous outputs into probabilities. The method proposed here exploits the difference between maximizing the AUC and minim...

MOTIVATION The development of in silico models to predict chemical carcinogenesis from molecular structure would help greatly to prevent environmentally caused cancers. The Predictive Toxicology Challenge (PTC) competition was organized to test the state-of-the-art in applying machine learning to form such predictive models. RESULTS Fourteen machine learning groups generated 111 models. The u...