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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.
Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target
The proposed framework is illustrated with the asset allocation problem in the accumulation phase of a defined contribution pension plan, with the goal of achieving a higher terminal wealth than a stochastic benchmark.
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