Search Results for author: Beatrice Guez

Found 2 papers, 0 papers with code

Omega and Sharpe ratio

no code implementations15 Oct 2019 Eric Benhamou, Beatrice Guez, Nicolas Paris1

We compute Omega ratio for the normal distribution and show that under some distribution symmetry assumptions, the Omega ratio is oversold as it does not provide any additional information compared to Sharpe ratio.

BCMA-ES II: revisiting Bayesian CMA-ES

no code implementations2 Apr 2019 Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris

We prove that the expected covariance should be lower in the normal Wishart prior model because of the convexity of the inverse.

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