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The area under Receiver Operating Characteristic (ROC) curve, also known as the AUC-index, is commonly used for ranking … proposed AUK-index compensates for the above basic flaw of the AUC by being sensitive to the class distribution. Therefore it …
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accuracy, excess return, and portfolio correlation with the index and the market. Performance is evaluated considering … empirical distributions of excess return, final wealth and correlations of the portfolio with the index and the market. The …
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