精选理由
想了解如何用 XGBoost 构建投资组合？KellyBoost 模型值得一试，它提供了精确的成长最优分配方法。
KellyBoost 是一个单多输出 XGBoost 模型，其 softmax 输出是投资组合；训练损失是负对数增长率，拟合模型是条件于特征的成长最优（凯利）分配；目标函数是精确的，而非代理：我们导出梯度、解析对角 Hessian 和完整 Hessian，并通过有限差分验证它们，并提供一个无依赖的参考引擎。
原文 · arXiv cs.LG
KellyBoost is a single multi-output XGBoost model whose softmax output is the portfolio: with y the vector of per-asset holding-period returns, the training loss is - log(1 + w y), the negative log growth rate, so the fitted model is the growth-optimal (Kelly) allocation conditioned on the features. The objective is exact rather than a surrogate: we derive the gradient, the analytic diagonal Hessian and the full Hessian in closed form, verify them by finite differences, and ship a dependency-free reference engine.