Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface
Yohei Okada, Hiroshi Konno
Abstract
ABSTRACT
We propose a new approach for failure discriminant analysis. The basic idea of the new method is to separate multi dimensional financial data corresponding to ongoing and failed companies by an ellipsoidal surface which is estimated by using a maximal margin hyperplane. We introduce two kinds of norms to construct the surface and compare the precision of prediction with other models including a semi-definite logit model.
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