The purpose of this article is to review the similarity and difference between financial risk minimization and a class of machine learning methods known as support vector machines, which were independently developed. By recognizing their common features, we can understand them in a unified...

Index tracking is a passive investment strategy in which a fund (e.g., an ETF: exchange traded fund) manager purchases a set of assets to mimic a market index. The tracking error, i.e., the difference between the performances of the index and the portfolio, may be minimized by buying all the...