3 citations · 7 across the 8 of their papers we have counts for
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q-fin.CP2022★ 3 cited
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Phillip Murray, Ben Wood, Hans Buehler +2
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-aver…
q-fin.CP2022
Deep Bellman Hedging
Hans Buehler, Phillip Murray, Ben Wood
We present an actor-critic-type reinforcement learning algorithm for solving the problem of hedging a portfolio of financial instruments such as securities and over-the-counter der…