A probabilistic risk-to-reward measure for evaluating the performance of financial securities.
Phil MaguirePhilippe MoserJ. McDonnellRobert KellySimon FullerRebecca MaguirePublished in: CIFEr (2013)
Keyphrases
- portfolio management
- risk management
- financial markets
- decision making
- portfolio optimization
- reinforcement learning
- stock market
- risk analysis
- similarity measure
- financial crisis
- generative model
- probability measures
- sharpe ratio
- fraud detection
- risk assessment
- bayesian networks
- decision support system
- information theory
- data mining
- distance measure
- probabilistic model
- risk evaluation
- risk averse
- data sets
- financial risk
- credit risk
- portfolio selection
- financial data
- probability theory
- risk factors
- stock price
- evaluation measures
- uncertain data
- non stationary
- state space