{"id":"https://openalex.org/W3155883385","doi":"https://doi.org/10.1007/s00500-021-05801-6","title":"Multi-agent reinforcement learning approach for hedging portfolio problem","display_name":"Multi-agent reinforcement learning approach for hedging portfolio problem","publication_year":2021,"publication_date":"2021-04-19","ids":{"openalex":"https://openalex.org/W3155883385","doi":"https://doi.org/10.1007/s00500-021-05801-6","mag":"3155883385","pmid":"https://pubmed.ncbi.nlm.nih.gov/33897298","pmcid":"https://www.ncbi.nlm.nih.gov/pmc/articles/8054257"},"language":"en","primary_location":{"id":"doi:10.1007/s00500-021-05801-6","doi":"https://doi.org/10.1007/s00500-021-05801-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-021-05801-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-021-05801-6.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","pubmed"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://link.springer.com/content/pdf/10.1007/s00500-021-05801-6.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5110546267","display_name":"Uyen Hoang Pham","orcid":"https://orcid.org/0000-0002-2077-9539","observed_orcids":["https://orcid.org/0000-0002-2077-9539"]},"institutions":[{"id":"https://openalex.org/I4387155442","display_name":"University of Economics and Law","ror":"https://ror.org/0138jhg57","country_code":"VN","type":"education","lineage":["https://openalex.org/I123565023","https://openalex.org/I4387155442"]}],"countries":["VN"],"is_corresponding":true,"raw_author_name":"Uyen Pham","raw_affiliation_strings":["Economic Mathematics, University of Economics and Law, Ho Chi Minh City, Vietnam"],"raw_orcid":"https://orcid.org/0000-0002-2077-9539","affiliations":[{"raw_affiliation_string":"Economic Mathematics, University of Economics and Law, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I4387155442"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5038502858","display_name":"Quoc Luu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405277534","display_name":"Vi\u1ec7n John von Neumann","ror":"https://ror.org/03113db34","country_code":"VN","type":"education","lineage":["https://openalex.org/I4405277534"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Quoc Luu","raw_affiliation_strings":["Quantitative and Computational Finance, John von Neumann Institute, Ho Chi Minh City, Vietnam"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Quantitative and Computational Finance, John von Neumann Institute, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I4405277534"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103277048","display_name":"Hien Duy Tran","orcid":"https://orcid.org/0000-0001-7518-7488","observed_orcids":["https://orcid.org/0000-0001-7518-7488"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Hien Tran","raw_affiliation_strings":["School of Engineering, Tan Tao University, Long An, Vietnam"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Engineering, Tan Tao University, Long An, Vietnam","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5110546267"],"corresponding_institution_ids":["https://openalex.org/I4387155442"],"apc_list":{"value":2780,"currency":"USD","value_usd":2780},"apc_paid":null,"fwci":1.9364,"has_fulltext":true,"cited_by_count":29,"citation_normalized_percentile":{"value":0.85674342,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":"25","issue":"12","first_page":"7877","last_page":"7885"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9717000126838684,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9717000126838684,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.013199999928474426,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.007300000172108412,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-hedging","display_name":"portfolio hedging","score":0.925000011920929},{"id":"https://openalex.org/keywords/multi-agent-reinforcement-learning","display_name":"multi-agent reinforcement learning","score":0.9110000133514404},{"id":"https://openalex.org/keywords/cross-hedging","display_name":"cross-hedging","score":0.9089999794960022},{"id":"https://openalex.org/keywords/stock-index-futures","display_name":"stock index futures","score":0.8270000219345093},{"id":"https://openalex.org/keywords/risk-reduction","display_name":"risk mitigation","score":0.5860000252723694},{"id":"https://openalex.org/keywords/vietnamese-stock-market","display_name":"Vietnamese stock market","score":0.699999988079071},{"id":"https://openalex.org/keywords/ho-chi-minh-city-stock-exchange","display_name":"Ho Chi Minh Stock Exchange","score":0.7570000290870667},{"id":"https://openalex.org/keywords/deep-reinforcement-learning","display_name":"deep reinforcement learning","score":0.6489999890327454}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.7477046251296997},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.520264744758606},{"id":"https://openalex.org/C95982191","wikidata":"https://www.wikidata.org/wiki/Q3338729","display_name":"Market neutral","level":3,"score":0.5199462175369263},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5126060843467712},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.5091540217399597},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.46519672870635986},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4181100130081177},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4133698344230652},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.35590386390686035},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23476353287696838},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.21451589465141296},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00500-021-05801-6","doi":"https://doi.org/10.1007/s00500-021-05801-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-021-05801-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-021-05801-6.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},{"id":"pmid:33897298","doi":null,"is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/33897298","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft computing","raw_type":"Journal Article"},{"id":"pmh:oai:pubmedcentral.nih.gov:8054257","doi":null,"is_oa":true,"landing_page_url":"https://pmc.ncbi.nlm.nih.gov/articles/PMC8054257/","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft comput","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.1007/s00500-021-05801-6","doi":"https://doi.org/10.1007/s00500-021-05801-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-021-05801-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-021-05801-6.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G5038745797","display_name":null,"funder_award_id":"02-2019","funder_id":"https://openalex.org/F4320309617","funder_display_name":"National Foundation for Science and Technology Development"},{"id":"https://openalex.org/G879913916","display_name":"Ph\u01b0\u01a1ng tr\u00ecnh \u0111\u1ea1o h\u00e0m ri\u00eang trong kh\u00f4ng gian ph\u1ee9c nhi\u1ec1u bi\u1ebfn","funder_award_id":"101.02-2019.319","funder_id":"https://openalex.org/F4320309617","funder_display_name":"National Foundation for Science and Technology Development"}],"funders":[{"id":"https://openalex.org/F4320309617","display_name":"National Foundation for Science and Technology Development","ror":"https://ror.org/04rw64z44"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3155883385.pdf","grobid_xml":"https://content.openalex.org/works/W3155883385.grobid-xml"},"referenced_works_count":36,"referenced_works":["https://openalex.org/W41554520","https://openalex.org/W174135753","https://openalex.org/W600312067","https://openalex.org/W1757796397","https://openalex.org/W1974301612","https://openalex.org/W1977051850","https://openalex.org/W2010489874","https://openalex.org/W2013312564","https://openalex.org/W2019291268","https://openalex.org/W2046782869","https://openalex.org/W2064675550","https://openalex.org/W2106848289","https://openalex.org/W2119567814","https://openalex.org/W2121863487","https://openalex.org/W2129163836","https://openalex.org/W2155585950","https://openalex.org/W2156737235","https://openalex.org/W2163605009","https://openalex.org/W2166362129","https://openalex.org/W2167035547","https://openalex.org/W2766447205","https://openalex.org/W2786036274","https://openalex.org/W2891468099","https://openalex.org/W2941037157","https://openalex.org/W2970328922","https://openalex.org/W2991046523","https://openalex.org/W2996037775","https://openalex.org/W3011120880","https://openalex.org/W3012223895","https://openalex.org/W3018556014","https://openalex.org/W3123471884","https://openalex.org/W4247451115","https://openalex.org/W4248510338","https://openalex.org/W6601158483","https://openalex.org/W6609376836","https://openalex.org/W6817864484"],"related_works":["https://openalex.org/W3094078384","https://openalex.org/W4238411259","https://openalex.org/W2941037157","https://openalex.org/W4404741392","https://openalex.org/W4283830820","https://openalex.org/W3114285181","https://openalex.org/W3199681230","https://openalex.org/W3090545699","https://openalex.org/W4321506253","https://openalex.org/W4321497586"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":7},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":10},{"year":2023,"cited_by_count":4}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2021-04-26T00:00:00"}
