47 citations · 89 across the 8 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.MF2021
Deep Partial Hedging
Songyan Hou, Thomas Krabichler, Marcus Wunsch
Using techniques from deep learning (cf. [Büh+19]), we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in t…
q-fin.MF2021★ 1 cited
Hedging Goals
Thomas Krabichler, Marcus Wunsch
Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In…