Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps

By Sigui Brice Dro, Emmanuel Gnabeyeu

Published 2026-09-15

Everscope rating

1640.8

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Martingale Optimality Principle with Riccati BSDEJ. Problem types: Portfolio Optimization, Optimization, Risk Management, Stochastic Control.

arXiv:2605.00688 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.