Pontryagin-guided direct policy optimization for continuous-time portfolio problem

DOI10.3934/JIMO.2025110MaRDI QIDQ6848367zbMATH OpenFDO

Authors Jeonggyu Huh, Seungwon Jeong, Jaegi Jeon

Publication date 6 March 2026

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/JIMO.2025110

zbMATH Keywords

consumption-investment problemdirect policy optimizationMerton portfolio problemneural networkPontryagin's maximum principlestochastic control

Mathematics Subject Classification ID

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

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