文件夹
计算机科学
数学优化
应用数学
数理经济学
数学
人工智能
经济
金融经济学
作者
Makoto Naito,Kohta Takehara
标识
DOI:10.1142/s2424786325500100
摘要
This paper proposes a numerical method for solving unconstrained optimal portfolio problems. This method combines an asymptotic expansion method applied to the optimal portfolio problem in complete markets, a technique of reformulating the optimal portfolio problem into a corresponding backward stochastic differential equation (BSDE), and a method for BSDEs using machine learning. Numerical examples show that this method may give a better estimate for the optimal portfolio compared to existing methods.
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