Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben; … - 2019
This article discusses a new application of reinforcement learning: to the problem of hedging a portfolio of “over … machine learning literature.The objective is to maximize a non-linear risk-adjusted return function by trading in liquid … hedging instruments such as equities or listed options. The approach presented here is the first efficient and model …
