2 papers
cs.LG2026
Constrained Policy Optimization with Cantelli-Bounded Value-at-Risk
Rohan Tangri, Jan-Peter Calliess
We introduce Canary, a risk-averse method designed to optimize Value-at-Risk (VaR) constrained reinforcement learning (RL) problems. We employ Cantelli's inequality to obtain a tra…
q-fin.TR2026
Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance
Adir Saly-Kaufmann, Kieran Wood, Jan Peter-Calliess +1
We present a large scale benchmark of modern deep learning architectures for a financial time series prediction and position sizing task, with a primary focus on Sharpe ratio optim…