| Autor: |
François, Pascal, Gauthier, Geneviève, Godin, Frédéric, Mendoza, Carlos Octavio Pérez |
| Rok vydání: |
2024 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
The recent work of Horikawa and Nakagawa (2024) claims that under a complete market admitting statistical arbitrage, the difference between the hedging position provided by deep hedging and that of the replicating portfolio is a statistical arbitrage. This raises concerns as it entails that deep hedging can include a speculative component aimed simply at exploiting the structure of the risk measure guiding the hedging optimisation problem. We test whether such finding remains true in a GARCH-based market model, which is an illustrative case departing from complete market dynamics. We observe that the difference between deep hedging and delta hedging is a speculative overlay if the risk measure considered does not put sufficient relative weight on adverse outcomes. Nevertheless, a suitable choice of risk measure can prevent the deep hedging agent from engaging in speculation. |
| Databáze: |
arXiv |
| Externí odkaz: |
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