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stat.AP2013★ 1 cited
The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments
Laszlo F. Korsos
Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to esti…
stat.AP2011
Analyzing Risky Choices: Q-Learning for Deal-No Deal
Laszlo Korsos, Nicholas G. Polson
We derive an optimal strategy in the popular Deal or No Deal game show. Q-learning quantifies the continuation value inherent in sequential decision making and we use this to analy…