mlsanityData to 7 Oct 2026

Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

arXiv 2207.07467 ↗First posted 15 Jul 2022q-fin.CP q-fin.RM stat.MLcited by 13

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Abstract (arXiv)

We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-averse stochastic control problems and use it to learn hedging strategies across multiple risk aversion levels simultaneously. We demonstrate the effectiveness of the approach with a numerical example in a stochastic volatility environment.

Key facts. Cited by 13 papers in the map (data through 7 Oct 2026). Builds on 12 of its 27 references that are in the map. First posted on arXiv 15 Jul 2022.

Builds on

12 of 27 references.

References · 12

  1. 2015Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shiftcited by 6,979
  2. 2015Continuous control with deep reinforcement learningcited by 3,279
  3. 2017Distributional Reinforcement Learning with Quantile Regressioncited by 464
  4. 2015Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approachcited by 162
  5. 2018Deep Hedgingcited by 106
  6. 2021Recent Advances in Reinforcement Learning in Financecited by 102
  7. 2014Algorithms for CVaR Optimization in MDPscited by 98
  8. 2021Multi-Asset Spot and Option Market Simulationcited by 17
  9. 2020Option Hedging with Risk Averse Reinforcement Learningcited by 13
  10. 2021Risk-Aware Transfer in Reinforcement Learning using Successor Featurescited by 12
  11. 2021Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measurescited by 11
  12. 2021Deep Hedging under Rough Volatilitycited by 10

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Cited by year (2026 to 7 Oct)

Citing papers per year: 2023: 3; 2024: 5; 2025: 4; 2026: 1.

13 papers.

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  1. 2023Quantum Deep Hedgingcited by 22
  2. 2024Fast Deep Hedging with Second-Order Optimizationcited by 6
  3. 2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modelingcited by 5
  4. 2025The Formalism-Implementation Gap in Reinforcement Learning Researchcited by 3
  5. 2023Applying Reinforcement Learning to Option Pricing and Hedgingcited by 1
  6. 2024Hedging American Put Options with Deep Reinforcement Learningcited by 1
  7. 2025Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsamplingcited by 1
  8. 2026Generating Financial Time Series by Matching Random Convolutional Featurescited by 1
  9. 2024Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulatorscited by 0
  10. 2024EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learningcited by 0
  11. 2024Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approachcited by 0
  12. 2025Risk-Averse Reinforcement Learning with Itakura-Saito Losscited by 0
1 more
  1. 2025Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedgingcited by 0