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Sample average approximation of CVaR-based hedging problem with a deep-learning solution |
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| Institution: | 1. Graduate School of Public Policy, The University of Tokyo, Japan;2. Policy Research Institute, Ministry of Finance Japan, 3-1-1, Kasumigaseki, Chiyoda-Ku, Tokyo, Japan;1. School of Science, Jiangnan University, Wuxi 214122, China;2. School of Automation, Southeast University, Nanjing 210096, China;3. Department of Mathematics, Southeast University, Nanjing 210096, China;4. Department of Mathematics, King Abdulaziz University, Jeddah 21589, Saudi Arabia |
| Abstract: | |
| Keywords: | Conditional Value-at-Risk Hedging strategies Deep learning Theoretical guarantee Sample average approximation Uniform convergence |
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