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stat.ML2025
Deep Hedging Under Non-Convexity: Limitations and a Case for AlphaZero
Matteo Maggiolo, Giuseppe Nuti, Miroslav Štrupl +1
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet managemen…
stat.ML2025★ 1 cited
On the Convergence and Stability of Upside-Down Reinforcement Learning, Goal-Conditioned Supervised Learning, and Online Decision Transformers
Miroslav Štrupl, Oleg Szehr, Francesco Faccio +3
This article provides a rigorous analysis of convergence and stability of Episodic Upside-Down Reinforcement Learning, Goal-Conditioned Supervised Learning and Online Decision Tran…