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Found 5 papers, 0 papers with code
Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment
We establish mathematically that the LFNN approximation can yield a solution that is arbitrarily close to the solution of the original optimal control problem with bounded leverage.
A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming
We present a parsimonious neural network approach, which does not rely on dynamic programming techniques, to solve dynamic portfolio optimization problems subject to multiple investment constraints.
Optimal performance of a tontine overlay subject to withdrawal constraints
The optimal strategy (based on the parametric model) is tested out of sample using stationary block bootstrap resampling of the historical data.
Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
We extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation to include a cap and a floor on withdrawals.
A Stochastic Control Approach to Defined Contribution Plan Decumulation: "The Nastiest, Hardest Problem in Finance"
We solve the stochastic control problem numerically, based on a parametric model of market stochastic processes.
