Phillip Murray, Ben Wood, Hans Buehler, Magnus Wiese, Mikko Pakkanen. Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions. In Daniele Magazzeni, Senthil Kumar, Rahul Savani, Renyuan Xu, Carmine Ventre, Blanka Horvath, Ruimeng Hu, Tucker Balch, Francesca Toni, editors, 3rd ACM International Conference on AI in Finance, ICAIF 2022, New York, NY, USA, November 2-4, 2022. pages 361-368, ACM, 2022. [doi]
Abstract is missing.