Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment

By Len Patrick Dominic M. Garces, Yang Shen

Published 2024-07-03

Everscope rating

1423.5

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

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

arXiv:2407.02831 · Paper rankings

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