2 papers
q-fin.RM2019
Testing Sharpe ratio: luck or skill?
Eric Benhamou, David Saltiel, Beatrice Guez +1
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (e…
cs.LG2019
NGO-GM: Natural Gradient Optimization for Graphical Models
Eric Benhamou, Jamal Atif, Rida Laraki +1
This paper deals with estimating model parameters in graphical models. We reformulate it as an information geometric optimization problem and introduce a natural gradient descent s…