Table 1 Summary of repeated... | Emerald Publishing

Table 1

Summary of repeated cross-validation results (K = 50)

Metric	Mean	Std. Dev	Min	Max
AUC	0.7196	0.0038	0.7119	0.7269
SR(τ*)	0.0919	0.0096	0.0766	0.1203
τ*	0.0680	0.0414	0.0000	0.1500
Approval rate	0.2691	0.0694	0.1009	0.4070
Portfolio return (%)	1.7264	0.0604	1.5754	1.8626
Portfolio volatility (%)	3.4381	0.6038	1.9202	4.6494

Metric	Mean	Std. Dev	Min	Max
AUC	0.7196	0.0038	0.7119	0.7269
SR(τ*)	0.0919	0.0096	0.0766	0.1203
τ*	0.0680	0.0414	0.0000	0.1500
Approval rate	0.2691	0.0694	0.1009	0.4070
Portfolio return (%)	1.7264	0.0604	1.5754	1.8626
Portfolio volatility (%)	3.4381	0.6038	1.9202	4.6494

Note(s): * The approval rate and portfolio statistics are computed in the evaluation sample under the optimal screening threshold τ* for each repetition

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