Related papers: Turnover-Adjusted Information Ratio
Individualized treatment rules (ITRs) tailor treatments according to individual patient characteristics. They can significantly improve patient care and are thus becoming increasingly popular. The data collected during randomized clinical…
The impact investment market has an estimated value of almost $1.6 trillion. Significant progress has been made in determining the financial returns of impact investing. Investors are still, however, in the early stages of determining…
The advances and development of various machine learning techniques has lead to practical solutions in various areas of science, engineering, medicine and finance. The great choice of algorithms, their implementations and libraries has…
Recent work in reinforcement learning has focused on several characteristics of learned policies that go beyond maximizing reward. These properties include fairness, explainability, generalization, and robustness. In this paper, we define…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante…
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of linear transaction costs, a large amount of value is paid…
An individualized treatment regime (ITR) is a decision rule that assigns treatments based on patients' characteristics. The value function of an ITR is the expected outcome in a counterfactual world had this ITR been implemented. Recently,…
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
Traditional risk-adjusted returns, such as the Treynor, Sharpe, Sortino, and Information ratios, have been pivotal in portfolio asset allocation, focusing on minimizing risk while maximizing profit. Nevertheless, these metrics often fail to…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
In many important applications of precision medicine, the outcome of interest is time to an event (e.g., death, relapse of disease) and the primary goal is to identify the optimal individualized decision rule (IDR) to prolong survival time.…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
Individualized treatment rules (ITRs) are considered a promising recipe to deliver better policy interventions. One key ingredient in optimal ITR estimation problems is to estimate the average treatment effect conditional on a subject's…
This paper consists of two parts. In the first part, we develop a new information theory, in which it is not a coincidence that information and physical entropy share the same mathematical formula. It is an adaptation of mind to help search…
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy…
Intelligent reflective surface (IRS) technologies help mitigate undesirable effects in wireless links by steering the communication signal between transmitters and receivers. IRS elements are configured to adjust the phase of the reflected…
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.…
Research funding agencies routinely use a proportion of their total revenues to support internal administration and marketing costs. The ratio of administration to total costs, referred to as the administration ratio, is highly variable and…