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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…
q-fin.RM2014
On the Measurement of Economic Tail Risk
Steven Kou, Xianhua Peng
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to s…