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q-fin.PM2021
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
Saeed Marzban, Erick Delage, Jonathan Yumeng Li +2
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with th…
q-fin.PR2021
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures
Saeed Marzban, Erick Delage, Jonathan Yumeng Li
Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static ri…