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We adopt deep learning models to directly optimise the portfolio Sharpe ratio.
Sur les fonctions convexes et les inégalités entre les valeurs moyennes
Johan Ludwig William Valdemar Jensen et al · 1906
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Portfolio selection
Harry Markowitz · 1952
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Simple statistical gradient-following algorithms for connectionist reinforcement learning
Ronald J Williams · 1992
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The sharpe ratio
William F Sharpe · 1994
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Performance measurement in a downside risk framework
Frank A Sortino and Lee N Price · 1994
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Long short-term memory
Sepp Hochreiter and Jürgen Schmidhuber · 1997
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Performance functions and reinforcement learning for trading systems and portfolios
John Moody, Lizhong Wu, Yuansong Liao, and Matthew Saffell · 1998
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Statistical properties of financial time series
Rama Cont and De Nitions · 1999
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Robert Fernholz · 1999
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John Moody and Matthew Saffell · 2001
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E Robert Fernholz · 2002
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