Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions.
Phillip MurrayBen WoodHans BuehlerMagnus WieseMikko PakkanenPublished in: ICAIF (2022)
Keyphrases
- reinforcement learning
- transaction costs
- risk management
- option pricing
- financial markets
- black scholes
- supervised learning
- portfolio selection
- learning algorithm
- convertible bonds
- portfolio optimization
- special case
- risk factors
- risk assessment
- optimal control
- investment strategies
- dynamic programming
- machine learning