4 papers
Omega and Sharpe ratio
Eric Benhamou, Beatrice Guez, Nicolas Paris1
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sh…
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…
BCMA-ES II: revisiting Bayesian CMA-ES
Eric Benhamou, David Saltiel, Beatrice Guez +1
This paper revisits the Bayesian CMA-ES and provides updates for normal Wishart. It emphasizes the difference between a normal and normal inverse Wishart prior. After some computat…
Three remarkable properties of the Normal distribution
Eric Benhamou, Beatrice Guez, Nicolas Paris
In this paper, we present three remarkable properties of the normal distribution: first that if two independent variables's sum is normally distributed, then each random variable f…