Hedging on the Frontier: Learning New Tasks with Few Samples
When a learner faces a new task with few samples, it must leverage any available side information. In practice, this often comes in the form of model evaluations on related tasks in public benchmarks. A key question then is how to model task relatedness such that it is both realistic and the benchmark evaluations lead to provable gains. Empirically, we observe that weak monotonicity is often approximately satisfied: if a model dominates another on many benchmarks, it also tends to outperform on the new task. We explore the statistical complexity of learning under (approximate) weak monotonicity, leveraging it within two learning paradigms: transfer learning and model selection aggregation. We show that not only can we prune the model class based on monotonicity, but we can also further adapt to the geometry of the available trade-offs by hedging on the frontier.
Code (0)
등록된 구현이 없습니다.
Tasks
Transfer LearningSimilar Papers 제목 키워드 기반
The Efficient Hedging Frontier with Deep Neural Networks
The trade off between risks and returns gives rise to multi-criteria optimisation problems that are well understood in finance, efficient frontiers being the tool to navigate their set of optimal solutions. Motivated by …
NavigateOption Hedging with Risk Averse Reinforcement Learning
In this paper we show how risk-averse reinforcement learning can be used to hedge options. We apply a state-of-the-art risk-averse algorithm: Trust Region Volatility Optimization (TRVO) to a vanilla option hedging enviro…
reinforcement-learningReinforcement LearningReinforcement Learning (RL)How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model
If a financial asset's price movement impacts a firm's product demand, the firm can respond to the impact by adjusting its operational decisions. For example, in the automotive industry, car makers decrease the selling p…
Dynamic Hedging using Generated Genetic Programming Implied Volatility Models
The purpose of this paper is to improve the accuracy of dynamic hedging using implied volatilities generated by genetic programming. Using real data from S&P500 index options, the genetic programming's ability to forecas…
Herculean: An Agentic Benchmark for Financial Intelligence
As AI agents improve, the central question is no longer whether they can solve isolated well-defined financial tasks, but whether they can reliably carry out financial professional work. Existing financial benchmarks off…
Question Answering