A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging
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Publication:5162848
DOI10.1137/20M1336023zbMath1476.91143arXiv1912.00244OpenAlexW3200752591MaRDI QIDQ5162848
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Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.00244
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35) Financial applications of other theories (91G80) Portfolio theory (91G10)
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