Sharpe ratio as loss function about pgportfolio

[ZhengyaoJiang]

Greetings,
This question is related to our recent unpublished work. I'm sorry that I cannot discuss too much the topic.
However, what I can tell is using Sharpe ratio directly here won't work.

Regards
zhengyao

[lytkarinskiy]

Wow, besides the work already've been done it's a huge next step!
Can you tell any possible date we can read the paper? =)

Andrey

[ZhengyaoJiang]

I think next year.
Not sure about the exact date yet.

Zhengyao

[akaniklaus]

@lytkarinskiy Found some example implementations below, why don't you try to integrate that for us?
https://github.com/TenzinDJ/AI_for_Finance
https://github.com/SergeOlivierP/agentF
https://github.com/OlegMitsik/AA228_Project