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Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
We validate the efficacy of the DPM through numerical tests conducted on a high-dimensional optimal stopping model in the area of American option pricing.
Relative growth rate optimization under behavioral criterion
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion.
Dynamic growth-optimum portfolio choice under risk control
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market.
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