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Inverse optimization of convex risk functions
Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 7113-7141
Persistent link: https://www.econbiz.de/10012703797
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Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng - In: Operations research 66 (2018) 6, pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
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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
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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
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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
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WaveCorr : deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng; … - In: Operations research letters 51 (2023) 6, pp. 680-686
Persistent link: https://www.econbiz.de/10014465889