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https://doi.org/10.21256/zhaw-25472| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Deep partial hedging |
| Autor/-in: | Hou, Songyan Krabichler, Thomas Wunsch, Marcus |
| et. al: | No |
| DOI: | 10.3390/jrfm15050223 10.21256/zhaw-25472 |
| Erschienen in: | Journal of Risk and Financial Management |
| Band(Heft): | 15 |
| Heft: | 5 |
| Seiten bis: | 223 |
| Erscheinungsdatum: | 2022 |
| Verlag / Hrsg. Institution: | MDPI |
| ISSN: | 1911-8066 1911-8074 |
| Sprache: | Englisch |
| Schlagwörter: | Machine learning; Risk management; Transaction cost; Market friction; Partial hedging |
| Fachgebiet (DDC): | 006: Spezielle Computerverfahren 332.6: Investition |
| Zusammenfassung: | Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction costs as well as general market dynamics. It needs to be noted that, without further modifications, the approach works only if the risk aversion is beyond a certain level. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/25472 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Wealth & Asset Management (IWA) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2022_Hou-Krabichler-Wunsch_Deep-partial-hedging_jrfm.pdf | 600.17 kB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Hou, S., Krabichler, T., & Wunsch, M. (2022). Deep partial hedging. Journal of Risk and Financial Management, 15(5), 223. https://doi.org/10.3390/jrfm15050223
Hou, S., Krabichler, T. and Wunsch, M. (2022) ‘Deep partial hedging’, Journal of Risk and Financial Management, 15(5), p. 223. Available at: https://doi.org/10.3390/jrfm15050223.
S. Hou, T. Krabichler, and M. Wunsch, “Deep partial hedging,” Journal of Risk and Financial Management, vol. 15, no. 5, p. 223, 2022, doi: 10.3390/jrfm15050223.
HOU, Songyan, Thomas KRABICHLER und Marcus WUNSCH, 2022. Deep partial hedging. Journal of Risk and Financial Management. 2022. Bd. 15, Nr. 5, S. 223. DOI 10.3390/jrfm15050223
Hou, Songyan, Thomas Krabichler, and Marcus Wunsch. 2022. “Deep Partial Hedging.” Journal of Risk and Financial Management 15 (5): 223. https://doi.org/10.3390/jrfm15050223.
Hou, Songyan, et al. “Deep Partial Hedging.” Journal of Risk and Financial Management, vol. 15, no. 5, 2022, p. 223, https://doi.org/10.3390/jrfm15050223.
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