A recurrent neural network approximates the optimal precommitment policy for multi-period mean-DCVaR portfolio optimization in complete markets and insurance settings.
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
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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.