2 papers
q-fin.PM2020
Optimal allocation using the Sortino ratio
Tarek Nassar, Sandro Ephrem
In this paper we present an asset allocation strategy based on the maximization of the Sortino ratio. Unlike the Sharpe ratio, the Sortino ratio penalizes negative return variances…
cs.LG2019
Collaborative Evolutionary Reinforcement Learning
Shauharda Khadka, Somdeb Majumdar, Tarek Nassar +5
Deep reinforcement learning algorithms have been successfully applied to a range of challenging control tasks. However, these methods typically struggle with achieving effective ex…