A recurrent neural network approximates the optimal precommitment policy for multi-period mean-DCVaR portfolio optimization in complete markets and insurance settings.
Mortality risk via affine stochastic intensities: calibration and empirical relevance
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
A recurrent neural network approximates the optimal precommitment policy for multi-period mean-DCVaR portfolio optimization in complete markets and insurance settings.