3 papers
q-fin.PM2026
Sharpe Ratio and Return-VaR Ratio Maximization for Option Portfolios with Skew-Elliptical Underlying Returns
Kyle Sung, Traian A. Pirvu
We provide a formulation for optimal option portfolios under Sharpe Ratio maximization when the underlying returns follow a skew-elliptical t-distribution. This departs from the tr…
q-fin.PM2026
Optimal Option Portfolios for Skew-Elliptical t Returns
Kyle Sung, Traian A. Pirvu
This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio ri…
stat.ML2026
Step by Step: Adaptive Gradient Descent for Training L-Lipschitz Neural Networks
Kyle Sung, Kholood Khalil, Noah Forman +2
We demonstrate that applying an eventual decay to the learning rate (LR) in empirical risk minimization (ERM), where the mean-squared-error loss is minimized using standard gradien…