Utility Maximisation with Model-Independent Constraints

By Alexander M. G. Cox, Daniel Hernandez-Hernandez

Published 2026-01-01

Everscope rating

1712.9

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Utility Maximisation with Pathwise Intrinsic Wealth Constraints via Max-Plus Decomposition. Problem types: Portfolio Optimization, Optimization, Risk Management, Robust Optimization, Constrained Stochastic Optimization.

arXiv:2512.24371 · Paper rankings

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