Login / Signup
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures.
Saeed Marzban
Erick Delage
Jonathan Yu-Meng Li
Published in:
CoRR (2021)
Keyphrases
</>
risk measures
reinforcement learning
risk averse
financial markets
convertible bonds
portfolio optimization
portfolio selection
robust optimization
cost function
risk management
dynamic pricing
option pricing
decision making
decision support system
simulated annealing
state space
black scholes