no code implementations • 5 Jul 2023 • Shuaijie Qian, Chen Yang
This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs.
no code implementations • 11 May 2023 • Mengge Li, Shuaijie Qian, Chao Zhou
Under our definition, a classical solution to the corresponding PDE system implies a robust equilibrium strategy.