Business Commons^™

A Machine Learning Approach To Stochastic Optimal Control, Pablo Ever Avalos

Open Access Theses & Dissertations

Merton's portfolio optimization problem is a well-renowned problem in financial mathematics which seeks to optimize the investment decision for an investor. In the simplest situation, the market consists of a risk-less asset (i.e. a bond) that pays back a relatively low interest rate, and a risky asset (i.e. a stock) that follows a geometric Brownian motion. The optimal allocation strategy of the investor's wealth is found by optimizing the expected utility along the stochastic evolution of the market. This thesis focuses on several different applications of this optimization problem. We look at pre-constructed analytical solutions and showcase the results. We …

Estimating The Optimal Cutoff Point For Logistic Regression, Zheng Zhang

Open Access Theses & Dissertations

Binary classification is one of the main themes of supervised learning. This research is concerned about determining the optimal cutoff point for the continuous-scaled outcomes (e.g., predicted probabilities) resulting from a classifier such as logistic regression. We make note of the fact that the cutoff point obtained from various methods is a statistic, which can be unstable with substantial variation. Nevertheless, due partly to complexity involved in estimating the cutpoint, there has been no formal study on the variance or standard error of the estimated cutoff point.

In this Thesis, a bootstrap aggregation method is put forward to estimate the …

Public Social Network Sites And Social Recruiting, Abby Peters

Open Access Theses & Dissertations

Social network sites (SNSs) are an increasingly popular form of social media used by individuals and organizations. As these platforms continue to transform the way people communicate with one another, they are simultaneously revolutionizing the way individuals interact with organizations. Part of this dramatic change is apparent in the processes by which organizations are recruiting employees and job seekers are pursuing employment. To investigate these phenomena, I employed the diffusion of innovations theory in a SNS context to examine the relationship between organizations' use of their corporate career website and their use of SNSs as recruiting sources. Subsequently, I used …

New Algorithms For Optimal Portfolio Selection, Tanja Magoc

Open Access Theses & Dissertations

Over the past four thousand years, numerous techniques have been developed and used to address problems in Finance. These techniques include simple arithmetic calculations and probabilistic methods as well as intelligent systems techniques such as neural networks, genetic algorithms, multi-agent systems, and support vector machines. The techniques have been developed to accurately and quickly collect, validate, analyze, and integrate data that change dynamically.

The particular problem that we address in this Dissertation is the construction of efficient algorithms for the problem of an optimal portfolio selection, that is, algorithms that would accurately and in real time determine the best distribution …