3 papers
econ.GN2024
A Machine Learning Algorithm for Finite-Horizon Stochastic Control Problems in Economics
Xianhua Peng, Steven Kou, Lekang Zhang
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The al…
q-fin.RM2024
A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging
Xianhua Peng, Xiang Zhou, Bo Xiao +1
We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of th…
q-fin.RM2017
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk
Xue Dong He, Xianhua Peng
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be sur…