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Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures.
Simple statistical gradient-following algorithms for connectionist reinforcement learning
Ronald J Williams · 1992
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Coherent measures of risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath · 1999
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Hedging derivative securities and incomplete markets: an ϵ \epsilon -arbitrage approach
Dimitris Bertsimas, Leonid Kogan, and Andrew W Lo · 2001
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Off-policy actor-critic
Thomas Degris, Martha White, and Richard S. Sutton · 2012
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Deterministic policy gradient algorithms
David Silver, Guy Lever, Nicolas Heess, Thomas Degris, Daan Wierstra, and Martin Riedmiller · 2014
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Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences
Birgit Rudloff, Alexandre Street, and Davi M Valladão · 2014
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Risk-sensitive reinforcement learning
Yun Shen, Michael J. Tobia, Tobias Sommer, and Klaus Obermayer · 2014
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Human-level control through deep reinforcement learning
Volodymyr Mnih, Koray Kavukcuoglu, David Silver, Andrei A Rusu, Joel Veness, Marc G Bellemare, Alex Graves, Martin Riedmiller, Andreas K Fidjeland, Georg Ostrovski, et al · 2015
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Policy gradient for coherent risk measures
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Continuous control with deep reinforcement learning
Timothy P Lillicrap, Jonathan J Hunt, Alexander Pritzel, Nicolas Heess, Tom Erez, Yuval Tassa, David Silver, and Daan Wierstra · 2015
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Equal risk pricing under convex trading constraints
Ivan Guo and Song-Ping Zhu · 2017
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Risk management with expectiles
Fabio Bellini and Elena Di Bernardino · 2017
Practical risk measures in reinforcement learning
Dotan Di Castro, J. Oren, and Shie Mannor · 2019
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Saeed Marzban, Erick Delage, and Jonathan Yumeng Li · 2020
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Equal risk pricing of derivatives with deep hedging
Alexandre Carbonneau and Frédéric Godin · 2020
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Improving robustness via risk averse distributional reinforcement learning
Rahul Singh, Qinsheng Zhang, and Yongxin Chen · 2020
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Deep equal risk pricing of financial derivatives with multiple hedging instruments
Alexandre Carbonneau and Frédéric Godin · 2021
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On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
James Ming Chen · 2018
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On the convergence and optimality of policy gradient for markov coherent risk, 2021
Audrey Huang, Liu Leqi, Zachary C. Lipton, and Kamyar Azizzadenesheli · 2021
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Risk-averse offline reinforcement learning
Núria Armengol Urpí, Sebastian Curi, and Andreas Krause · 2021
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