2 papers
cs.LG2025
Order Optimal Regret Bounds for Sharpe Ratio Optimization under Thompson Sampling
Mohammad Taha Shah, Sabrina Khurshid, Gourab Ghatak
In this paper, we study sequential decision-making for maximizing the Sharpe ratio (SR) in a stochastic multi-armed bandit (MAB) setting. Unlike standard bandit formulations that m…
cs.LG2025
Variance-Optimal Arm Selection: Misallocation Minimization and Best Arm Identification
Sabrina Khurshid, Gourab Ghatak, Mohammad Shahid Abdulla
This paper focuses on selecting the arm with the highest variance from a set of independent arms. Specifically, we focus on two settings: (i) misallocation minimization setting…