Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products.
Anil SharmaFreeman ChenJaesun NohJulio DeJesusMario SchlenerPublished in: CoRR (2024)
Keyphrases
- transaction costs
- reinforcement learning
- financial markets
- portfolio selection
- option pricing
- exchange rate
- optimal policy
- state space
- optimal control
- risk management
- function approximation
- dynamic programming
- stock exchange
- genetic algorithm
- convertible bonds
- markov decision processes
- temporal difference
- model free
- neural network
- short term
- structured data
- co occurrence
- viewpoint
- learning algorithm
- machine learning
- real world