A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Proposes a new acquisition function for batched Bayesian optimization.
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a volatility term, a relative entropy term measuring the distance between the portfoli…
Reinforcement learning for continuous-time risk-sensitive asset allocation
Finding parameters that minimise a loss function is at the core of many machine learning methods. The Stochastic Gradient Descent algorithm is widely used and delivers state of the art results for many problems. Nonetheless, Stochastic Gradient Descent typically cannot find the global minimum, thus its empirical effect…
Solves risk-sensitive investment via duality, entropic regularization, and RL.
The paper introduces a new system of equations for Hessian-cscK metrics.
We explore a new method for discrete-time control problems using randomization and entropy.
Paper introduces a new method for risk-sensitive investment management using RL.
Wavelet analysis reveals financialization effects on oil-food price correlation.