{"id":"https://openalex.org/W4383219048","doi":"https://doi.org/10.1007/s12652-023-04657-y","title":"Structured products dynamic hedging based on reinforcement learning","display_name":"Structured products dynamic hedging based on reinforcement learning","publication_year":2023,"publication_date":"2023-07-05","ids":{"openalex":"https://openalex.org/W4383219048","doi":"https://doi.org/10.1007/s12652-023-04657-y"},"language":"en","primary_location":{"id":"doi:10.1007/s12652-023-04657-y","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1007/s12652-023-04657-y","pdf_url":null,"source":{"id":"https://openalex.org/S48031226","display_name":"Journal of Ambient Intelligence and Humanized Computing","issn_l":"1868-5137","issn":["1868-5137","1868-5145"],"is_oa":false,"is_in_doaj":false,"is_core":true,"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":"Journal of Ambient Intelligence and Humanized Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007045494","display_name":"Xu Hao","orcid":"https://orcid.org/0000-0002-4018-1112"},"institutions":[{"id":"https://openalex.org/I72951846","display_name":"Washington State University","ror":"https://ror.org/05dk0ce17","country_code":"US","type":"education","lineage":["https://openalex.org/I72951846"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hao Xu","raw_affiliation_strings":["Carson College of Business, Washington State University, Pullman, USA"],"affiliations":[{"raw_affiliation_string":"Carson College of Business, Washington State University, Pullman, USA","institution_ids":["https://openalex.org/I72951846"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5046152654","display_name":"Cheng Xu","orcid":"https://orcid.org/0009-0000-1392-3259"},"institutions":[{"id":"https://openalex.org/I69356397","display_name":"Xi\u2019an Jiaotong-Liverpool University","ror":"https://ror.org/03zmrmn05","country_code":"CN","type":"education","lineage":["https://openalex.org/I69356397"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Cheng Xu","raw_affiliation_strings":["Department of Strategic Management and Organisations, International Business School Suzhou, Xi\u2019an Jiaotong-Liverpool University, 8 Chongwen Road, Suzhou Industrial Park, Suzhou, Jiangsu, China","Department of Strategic Management and Organisations, International Business School Suzhou, Xi\u2019an Jiaotong-Liverpool University, Suzhou, China"],"affiliations":[{"raw_affiliation_string":"Department of Strategic Management and Organisations, International Business School Suzhou, Xi\u2019an Jiaotong-Liverpool University, 8 Chongwen Road, Suzhou Industrial Park, Suzhou, Jiangsu, China","institution_ids":["https://openalex.org/I69356397"]},{"raw_affiliation_string":"Department of Strategic Management and Organisations, International Business School Suzhou, Xi\u2019an Jiaotong-Liverpool University, Suzhou, China","institution_ids":["https://openalex.org/I69356397"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109301016","display_name":"He Yan","orcid":null},"institutions":[{"id":"https://openalex.org/I96062909","display_name":"Babson College","ror":"https://ror.org/01f0syq13","country_code":"US","type":"education","lineage":["https://openalex.org/I96062909"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"He Yan","raw_affiliation_strings":["Babson College, Wellesley, MA, USA","Babson College, Wellesley, USA"],"affiliations":[{"raw_affiliation_string":"Babson College, Wellesley, MA, USA","institution_ids":["https://openalex.org/I96062909"]},{"raw_affiliation_string":"Babson College, Wellesley, USA","institution_ids":["https://openalex.org/I96062909"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013261719","display_name":"Yanqi Sun","orcid":"https://orcid.org/0000-0003-4660-6780"},"institutions":[{"id":"https://openalex.org/I130541836","display_name":"Beijing Institute of Petrochemical Technology","ror":"https://ror.org/025s55q11","country_code":"CN","type":"education","lineage":["https://openalex.org/I130541836"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yanqi Sun","raw_affiliation_strings":["School of Economics and Management, Beijing Institute of Petrochemical Technology, 19 Qingyuan North Road, Daxing District, Beijing, China","School of Economics and Management, Beijing Institute of Petrochemical Technology, Beijing, China"],"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Beijing Institute of Petrochemical Technology, 19 Qingyuan North Road, Daxing District, Beijing, China","institution_ids":["https://openalex.org/I130541836"]},{"raw_affiliation_string":"School of Economics and Management, Beijing Institute of Petrochemical Technology, Beijing, China","institution_ids":["https://openalex.org/I130541836"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5013261719"],"corresponding_institution_ids":["https://openalex.org/I130541836"],"apc_list":{"value":2690,"currency":"EUR","value_usd":3390},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.13326137,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"14","issue":"9","first_page":"12285","last_page":"12295"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976000189781189,"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"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976000189781189,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9804999828338623,"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":0.9782000184059143,"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/reinforcement-learning","display_name":"Reinforcement learning","score":0.7398672103881836},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6119430661201477},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.569933295249939},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5495086312294006},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5175630450248718},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.4896443486213684},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.47143831849098206},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.4353692829608917},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.4267627000808716},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.41126441955566406},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4099980294704437},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.38030755519866943},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.32960981130599976},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.30207353830337524},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2343462109565735},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.22611674666404724},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.19358396530151367},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.1431596279144287},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.13921523094177246}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.7398672103881836},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6119430661201477},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.569933295249939},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5495086312294006},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5175630450248718},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.4896443486213684},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.47143831849098206},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4353692829608917},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.4267627000808716},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.41126441955566406},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4099980294704437},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.38030755519866943},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.32960981130599976},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.30207353830337524},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2343462109565735},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22611674666404724},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.19358396530151367},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.1431596279144287},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.13921523094177246},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"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":1,"locations":[{"id":"doi:10.1007/s12652-023-04657-y","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1007/s12652-023-04657-y","pdf_url":null,"source":{"id":"https://openalex.org/S48031226","display_name":"Journal of Ambient Intelligence and Humanized Computing","issn_l":"1868-5137","issn":["1868-5137","1868-5145"],"is_oa":false,"is_in_doaj":false,"is_core":true,"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":"Journal of Ambient Intelligence and Humanized Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/16","score":0.4399999976158142,"display_name":"Peace, Justice and strong institutions"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1494486140","https://openalex.org/W1996089295","https://openalex.org/W2008730470","https://openalex.org/W2017741820","https://openalex.org/W2117112756","https://openalex.org/W2129220488","https://openalex.org/W2148080284","https://openalex.org/W2151065060","https://openalex.org/W2160519132","https://openalex.org/W2342218074","https://openalex.org/W2625101268","https://openalex.org/W2914584772","https://openalex.org/W2941037157","https://openalex.org/W2966362327","https://openalex.org/W3018556014","https://openalex.org/W3081043352","https://openalex.org/W3083887855","https://openalex.org/W3119683061","https://openalex.org/W3121702817","https://openalex.org/W3166964686","https://openalex.org/W4241584625","https://openalex.org/W4247451115","https://openalex.org/W6600902652","https://openalex.org/W6601794034","https://openalex.org/W6817864484"],"related_works":["https://openalex.org/W2104447672","https://openalex.org/W3037177608","https://openalex.org/W2920377001","https://openalex.org/W4383315483","https://openalex.org/W1542602312","https://openalex.org/W4283806302","https://openalex.org/W3121378067","https://openalex.org/W2181372241","https://openalex.org/W2170968130","https://openalex.org/W1560191887"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-01-22T23:29:09.771500","created_date":"2025-10-10T00:00:00"}