In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
Gordon Ritter proposes a stable mean-variance optimisation for APT models