3 papers
q-fin.TR2023
Domain-adapted Learning and Interpretability: DRL for Gas Trading
Yuanrong Wang, Yinsen Miao, Alexander CY Wong +2
Deep Reinforcement Learning (Deep RL) has been explored for a number of applications in finance and stock trading. In this paper, we present a practical implementation of Deep RL f…
q-fin.PM2016
Tukey's transformational ladder for portfolio management
Philip Ernst, James Thompson, Yinsen Miao
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooke…
q-fin.PM2016
Portfolio Selection: The Power of Equal Weight
Philip Ernst, James Thompson, Yinsen Miao
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian…