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An Intersection–Union Test for the Sharpe Ratio

Gabriel Frahm • Risks (2018)

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The interse...

DOAJ Open Access (DOAJ) DOI: 10.3390/risks6020040

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Deep Learning for Portfolio Optimization

Zihao Zhang, Stefan Zohren, Stephen Roberts • The Journal of Financial Data Science (2020)

In this article, the authors adopt deep learning models to directly optimize the portfolio Sharpe ratio. The framework they present circumvents the requirements for forecasting expected returns and allows them to directly optimize portfolio...

OPENALEX Open Access DOI: https://doi.org/10.3905/jfds.2020.1.042

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Investment portfolio optimization with supervised learning and attention mechanism

Zetao Yan • Egyptian Informatics Journal (2025)

Portfolio optimization is a process that involves distribution of capital with the purpose of maximizing returns and at the same time minimizing risks. The current paper discusses the use of Transformer networks in supervised learning for p...

DOAJ Open Access (DOAJ) DOI: 10.1016/j.eij.2025.100839

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