A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
From MaRDI portal
Cites work
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- A jump-diffusion model for option pricing
- A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Acceleration of Stochastic Approximation by Averaging
- Across-time risk-aware strategies for outperforming a benchmark
- Applied stochastic control of jump diffusions
- Approximation of continuous functions by Lipschitz functions
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Block bootstrap methods and the choice of stocks for the long run
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convergence analysis of gradient descent stochastic algorithms
- Deep empirical risk minimization in finance: Looking into the future
- Deep hedging
- Deep learning
- Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Full error analysis for the training of deep neural networks
- scientific article; zbMATH DE number 3128787 (Why is no real title available?)
- Lasso-based simulation for high-dimensional multi-period portfolio optimization
- Learning equilibrium mean‐variance strategy
- Machine learning in finance. From theory to practice
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Multilayer feedforward networks are universal approximators
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Neural network with unbounded activation functions is universal approximator
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- On time consistency for mean-variance portfolio selection
- On time-inconsistent stochastic control in continuous time
- Optimal asset allocation for outperforming a stochastic benchmark target
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal trade execution: a mean quadratic variation approach
- Option pricing when underlying stock returns are discontinuous
- Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
- Solving high-dimensional optimal stopping problems using deep learning
- Solving high-dimensional partial differential equations using deep learning
- Strong error analysis for stochastic gradient descent optimization algorithms
- Tail optimality and preferences consistency for intertemporal optimization problems
- The Stationary Bootstrap
- Time-inconsistent control theory with finance applications
Cited in
(4)- Optimal multi-period leverage-constrained portfolios: a neural network approach
- Mean-semivariance optimal portfolios in discrete time using a game-theoretic approach
- Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
- Risk Measures for Defined Contribution (DC) Pension Plan Decumulation
This page was built for publication: A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6934517)
