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Nov, 2023
转移学习的风险及其在金融中的应用
Risk of Transfer Learning and its Applications in Finance
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Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
TL;DR
本文提出了一个新的转移风险概念并分析了其性质，将其应用于股票收益预测和投资组合优化问题中，数值结果表明转移风险与整体转移学习性能存在强相关性，转移风险提供了一个计算高效的方法来识别适当的源任务，包括跨大陆、跨行业和跨频率转移用于投资组合优化。
Abstract
transfer learning
is an emerging and popular paradigm for utilizing existing knowledge from previous learning tasks to improve the performance of new ones. In this paper, we propose a novel concept of
transfer risk
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