On Merton's Optimal Portfolio Problem Under Sporadic Bankruptcy

By Yaacov Kopeliovich, Michael Pokojovy

Published 2024-03-23

Everscope rating

1536.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Control Theory. Problem types: Portfolio Optimization, Risk Management.

arXiv:2403.15923 · Code · Paper rankings

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