9 citations · 14 across the 4 of their papers we have counts for
3 papers · 1 filter
Deep Empirical Risk Minimization in finance: looking into the future
A. Max Reppen, H. Mete Soner
Many modern computational approaches to classical problems in quantitative finance are formulated as empirical loss minimization (ERM), allowing direct applications of classical re…
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions
Sinong Geng, Houssam Nassif, Carlos A. Manzanares +2
We propose a reward function estimation framework for inverse reinforcement learning with deep energy-based policies. We name our method PQR, as it sequentially estimates the Polic…
Stochastic control of optimized certainty equivalents
Julio Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it enc…