Nonparametric Sharpe Ratio Function Estimation in Heteroscedastic Regression Models via Convex Optimization - researchr publication authors

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Seung-Jean Kim, Johan Lim, Joong-Ho Won. Nonparametric Sharpe Ratio Function Estimation in Heteroscedastic Regression Models via Convex Optimization. In Amos J. Storkey, Fernando Pérez-Cruz, editors, International Conference on Artificial Intelligence and Statistics, AISTATS 2018, 9-11 April 2018, Playa Blanca, Lanzarote, Canary Islands, Spain. Volume 84 of Proceedings of Machine Learning Research, pages 1495-1504, PMLR, 2018. [doi]

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