Consumption-Investment Problem in Rank-Based Models

By David Itkin

Published 2025-10-24

Everscope rating

1800.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Optimal Control with HJB Equations and Verification Theorems. Problem types: Portfolio Optimization, Optimization, Stochastic Control.

arXiv:2510.20763 · Paper rankings

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