Deep learning methods for S-shaped utility maximisation with a random reference point

DOI10.23952/COT.2026.33MaRDI QIDQ7295773zbMATH OpenFDO

Authors Ashley Davey, Harry Zheng

Publication date 14 July 2026

Published in Communications in Optimization Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.23952/COT.2026.33

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Utility theory (91B16) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites work

• A mean-field stochastic maximum principle via Malliavin calculus
• Continuous-time stochastic control and optimization with financial applications
• Convex duality in constrained portfolio optimization
• Deep learning for constrained utility maximisation
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• On the dual problem of utility maximization in incomplete markets
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Solving high-dimensional partial differential equations using deep learning
• Speculative trading, prospect theory and transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment
• Utility maximization under trading constraints with discontinuous utility
• Utility maximization with a given pricing measure when the utility is not necessarily concave

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