most citedBridging the gap between Markowitz planning and deep reinforcement learning

2 citations · 2 across the 1 of their papers we have counts for

collaborators
Showing q-fin.PMShow all

1 paper · 1 filter

q-fin.PM2020

Time your hedge with Deep Reinforcement Learning

Eric Benhamou, David Saltiel, Sandrine Ungari +1

Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions? The standard approach based on Markowitz or other more or less sophisticated fi…