2 citations · 2 across the 3 of their papers we have counts for
3 papers · 1 filter
Time your hedge with Deep Reinforcement Learning
Eric Benhamou, David Saltiel, Sandrine Ungari +1
Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions? The standard approach based on Markowitz or other more or less sophisticated fi…
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning
Eric Benhamou, David Saltiel, Jean-Jacques Ohana +1
Deep reinforcement learning (DRL) has reached super human levels in complex tasks like game solving (Go and autonomous driving). However, it remains an open question whether DRL ca…
Incremental Sharpe and other performance ratios
Eric Benhamou, Beatrice Guez
We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous f…