Derives time-consistent DMVO strategy via game theory, extends to CEV model, validates on real/simulated data, and compares to deep learning strategy.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Dynamic Mean-Variance Portfolio Optimisation
Derives time-consistent DMVO strategy via game theory, extends to CEV model, validates on real/simulated data, and compares to deep learning strategy.