A deep learning algorithm for optimal investment strategies under Merton's framework
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Publication:5066183
Hamilton-Jacobi equations (35F21) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Risk models (general) (91B05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Existence results for a Cauchy-Dirichlet parabolic problem with a repulsive gradient term
- scientific article; zbMATH DE number 3653400 (Why is no real title available?)
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Neural algorithm for solving differential equations
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- Optimal mean-variance portfolio selection
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- Solving high-dimensional partial differential equations using deep learning
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Cited in
(9)- Reinforcement learning and stochastic optimisation
- Deep learning for constrained utility maximisation
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
- A nonlinear control policy using kernel method for dynamic asset allocation
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
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