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arxiv: 2207.07467 · v1 · pith:KY7DYU26new · submitted 2022-07-15 · 💱 q-fin.CP · q-fin.RM· stat.ML

Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

classification 💱 q-fin.CP q-fin.RMstat.ML
keywords hedgingacrossgeneralmultipleportfoliosriskstochasticactor-critic
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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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