Search Results for author: Vincent Tan

Found 5 papers, 0 papers with code

Provable Benefits of Multi-task RL under Non-Markovian Decision Making Processes

no code implementations20 Oct 2023 Ruiquan Huang, Yuan Cheng, Jing Yang, Vincent Tan, Yingbin Liang

To this end, we posit a joint model class for tasks and use the notion of $\eta$-bracketing number to quantify its complexity; this number also serves as a general metric to capture the similarity of tasks and thus determines the benefit of multi-task over single-task RL.

Decision Making Multi-Task Learning +1

Canonical Portfolios: Optimal Asset and Signal Combination

no code implementations22 Feb 2022 Nikan Firoozye, Vincent Tan, Stefan Zohren

This paper presents a novel framework for analyzing the optimal asset and signal combination problem.

Information-Theoretic Generalization Bounds for Iterative Semi-Supervised Learning

no code implementations29 Sep 2021 Haiyun He, Hanshu Yan, Vincent Tan

We consider iterative semi-supervised learning (SSL) algorithms that iteratively generate pseudo-labels for a large amount unlabelled data to progressively refine the model parameters.

Generalization Bounds

Estimation of Large Financial Covariances: A Cross-Validation Approach

no code implementations10 Dec 2020 Vincent Tan, Stefan Zohren

By correcting the biases in the sample eigenvalues and aligning our estimator to more recent risk, we demonstrate that our estimator performs well in large dimensions against existing state-of-the-art static and dynamic covariance shrinkage estimators through simulations and with an empirical application in active portfolio management.

Management Time Series +1

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