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Multi-agent reinforcement learning approach for hedging portfolio problem · Study

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ArticleMulti-agent reinforcement learning approach for hedging portfolio problem

Uyen Hoang Pham2021

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Articlebronze2021

Multi-agent reinforcement learning approach for hedging portfolio problem

Uyen Hoang Pham · Quoc Luu · Hien Duy Tran

24 citations·0/0 files stored·Soft Computing

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Stock Market Forecasting Methods Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1979The Hedging Performance of the New Futures Markets 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk 1984Hedging Performance and Basis Risk in Stock Index Futures 2019Deep hedging 1998Performance functions and reinforcement learning for trading systems and portfolios 2020Deep Reinforcement Learning for Trading 1993Hedging with stock index futures: Estimation and forecasting with error correction model

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Year2021

Typearticle

Published2021-04-19

VenueSoft Computing

ISSN-L1432-7643

Languageen

Citations24

Files0 public / 0

ShelfStock Market Forecasting Methods

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doi10.1007/s00500-021-05801-6

openalex_workW3155883385

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