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~person:"Delage, Erick"
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Delage, Erick
McAleer, Michael
94
Wang, Ruodu
47
Allen, David E.
43
Härdle, Wolfgang
41
Stoja, Evarist
37
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ECONIS (ZBW)
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1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
2
On dynamic program decompositions of static risk measures
Hau, Jia Lin
;
Delage, Erick
;
Ghavamzadeh, Mohammad
; …
-
2023
Persistent link: https://www.econbiz.de/10014281685
Saved in:
3
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
4
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yumeng
-
2022
-
Revised: August 2022
Persistent link: https://www.econbiz.de/10013433493
Saved in:
5
The value of randomized strategies in distributionally robust risk-averse network interdiction problems
Sadana, Utsav
;
Delage, Erick
- In:
INFORMS journal on computing : JOC ; charting new …
35
(
2023
)
1
,
pp. 216-232
Persistent link: https://www.econbiz.de/10014327403
Saved in:
6
Shortfall risk models when information on loss function is incomplete
Delage, Erick
;
Guo, Shaoyan
;
Xu, Huifu
- In:
Operations research
70
(
2022
)
6
,
pp. 3511-3518
Persistent link: https://www.econbiz.de/10014307925
Saved in:
7
"Dice"-sion–making under uncertainty : when can a random decision reduce risk?
Delage, Erick
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Management science : journal of the Institute for …
65
(
2019
)
7
,
pp. 3282-3301
Persistent link: https://www.econbiz.de/10012039992
Saved in:
8
Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Management science : journal of the Institute for …
64
(
2018
)
1
,
pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
Saved in:
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