Robust Utility Optimization via a GAN Approach

By Florian Krach, Josef Teichmann, Hanna Wutte

Published 2024-03-22

Everscope rating

1729.3

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: GAN-based Robust Utility Optimization. Problem types: Portfolio Optimization, Risk Management.

arXiv:2403.15243 · Code · Paper rankings

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