Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.
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A hybrid DRL system for multi-pair crypto trading with deterministic risk shielding outperforms a heuristic baseline at 10% significance on Binance futures data.
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Post Selection Estimation of Sharpe Ratios
Compares post-selection estimators for the maximum observed Sharpe ratio using simulations and finds James-Stein shrinkage yields lowest bias and RMSE across tested parameters.