Portfolio selection under two-factor stochastic volatility and transaction costs with option-implied utility and deep learning

By Dong Yan, Ke Zhou, Zirun Wang, Xin-Jiang He

Published 2025-11-17

Everscope rating

1912.2

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Deep Learning-Based Policy Iteration with PINNs for 5D HJB Equation. Problem types: Portfolio Optimization, Optimization, Density Estimation, Risk Management.

arXiv:2510.21156 · Paper rankings

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