Asset returns are modeled by locally bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine regressions are evaluated using reductions in the economic cost of exposure to prediction residuals. Both local and global mean reversion and momentum are represented by drift dependence on price levels. Optimal portfolios maximize conservative portfolio values calculated as distorted expectations of portfolio returns observed on simulated path spaces. They are also shown to outperform classical alternatives.

中文翻译：

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零协变量收益

资产收益是通过局部双边伽玛过程建模的，协方差为零。然后观察到协方差是变化中随机性的结果。使用支持向量机对价格的回归来对隐含随机性进行建模。支持向量机回归的贡献是通过减少预测残差的经济成本来评估的。本地和全球均值回归和动量均由对价格水平的漂移依赖性表示。最优投资组合最大化了保守投资组合的价值，该价值是根据在模拟路径空间上观察到的投资组合收益的预期失真而计算出的。它们也被证明优于传统的替代品。