Paper proposes a robust Sharpe ratio portfolio method.
problem Comparing portfolios with unknown risk-free asset.
method Cross-efficiency evaluation to maximize Sharpe ratio.
result Explicit expression for robust Sharpe ratio portfolio.
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4 results for “cross-efficiency”
Paper automates car negotiation in intersections using Q-learning.
problem Automated vehicles negotiate with human-driven cars in intersections.
method Deep Q-learning applied to simulated traffic with various driver behaviors.
result 98% success rate in avoiding collisions with other vehicles.
The square root of Fredholm determinants causes numerical instabilities in option pricing models.
problem Numerical instabilities in Fourier-based option pricing for the Volterra Stein-Stein model.
method Characterization of determinant crossing behavior, derivation of transform to handle crossings, efficient algorithms.
result Significant improvement in accuracy and reduction in computational cost for Fourier-based pricing.
A novel tensor measurement scheme Cross enables efficient low-rank tensor completion with optimal sample complexity.
problem Efficiently recover low-rank tensors from a minimal number of measurements.
method Cross tensor measurement scheme for low-rank tensor completion.
result Third order tensor of Tucker rank- can be recovered from measurements, matching sample complexity lower-bound.