2 papers
cs.LG2026
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…
q-fin.PM2024
Optimizing Sharpe Ratio: Risk-Adjusted Decision-Making in Multi-Armed Bandits
Sabrina Khurshid, Mohammed Shahid Abdulla, Gourab Ghatak
Sharpe Ratio (SR) is a critical parameter in characterizing financial time series as it jointly considers the reward and the volatility of any stock/portfolio through its variance.…