Quant Letter: September 2024, Week-4
Weekly (64th Edition)
ArXiv
Finance
Neural Networks for Hedging: The study uses neural networks to determine optimal replication strategies for an option, indicating that gamma hedging is used to manage model uncertainty rather than to lessen transaction costs. (2024-09-20, shares: 7)
Portfolio Optimization Algorithm: The paper introduces a new method for portfolio optimization…
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