深度套期保值:跨多重风险厌恶的通用投资组合套期保值的持续强化学习

Phillip Murray, Ben Wood, Hans Buehler, Magnus Wiese, Mikko S. Pakkanen
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引用次数: 7

摘要

提出了一种针对任意初始投资组合和市场状态寻找最优对冲策略的方法。我们开发了一种新的行为者-批评家算法来解决一般的风险厌恶随机控制问题,并使用它来同时学习多个风险厌恶水平的对冲策略。通过一个随机波动环境下的数值算例验证了该方法的有效性。
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Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
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-averse stochastic control problems and use it to learn hedging strategies across multiple risk aversion levels simultaneously. We demonstrate the effectiveness of the approach with a numerical example in a stochastic volatility environment.
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