Option hedging with risk averse reinforcement learning.
Edoardo VittoriMichele TraplettiMarcello RestelliPublished in: ICAIF (2020)
Keyphrases
- risk averse
- reinforcement learning
- option pricing
- risk neutral
- utility function
- risk aversion
- decision makers
- portfolio management
- stochastic programming
- transaction costs
- stock price
- function approximation
- payoff functions
- markov decision processes
- exchange rate
- optimal control
- expected utility
- optimal policy
- learning algorithm
- inventory level
- state space
- machine learning
- portfolio selection
- dynamic programming
- np hard