Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Emmanuel Sérié"'
Publikováno v:
Journal of Finance and Data Science, Vol 6, Iss , Pp 16-30 (2020)
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The env
Externí odkaz:
https://doaj.org/article/81017f6f729046e6ad4ff5876a37b0ec
Publikováno v:
Journal of Finance and Data Science, Vol 6, Iss, Pp 16-30 (2020)
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The env
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0f93a0d88cfec1201ed0f6e0c872ce2
http://www.sciencedirect.com/science/article/pii/S2405918820300118
http://www.sciencedirect.com/science/article/pii/S2405918820300118
Publikováno v:
The Journal of Portfolio Management. 45:58-68
The authors find that when measured in terms of dollar-turnover, and once β and low volatility (low-vol) is neutralized, the size effect is alive and well. With a long-term t -statistic of 5.1, the cold-minus-hot (CMH) anomaly is certainly not less
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb9216bf2f79f58ad8a67d1b3627d62b
https://doi.org/10.3905/jpm.2019.1.086
https://doi.org/10.3905/jpm.2019.1.086
Autor:
Marc Potters, Jean-Philippe Bouchaud, Raphael Benichou, Emmanuel Sérié, Yves Lemperiere, Julien Kockelkoren, Philip Seager
Publikováno v:
The Journal of Investment Strategies. 6:1-12
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only, leading ''Eigenrisk Parity'' portfolios that ach
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b44c305913f875c2d3f0e318db4bbb18
https://doi.org/10.21314/jois.2017.083
https://doi.org/10.21314/jois.2017.083
We find that when measured in terms of dollar-turnover, and once $\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c92853517310f0ae72454647ec76338
Publikováno v:
SSRN Electronic Journal.
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::914f848dfe66a7c31e6d6c31cf7cf7c1
https://doi.org/10.2139/ssrn.2863925
https://doi.org/10.2139/ssrn.2863925