Tootfinder

Computational Methods and Verification Theorem for Portfolio-Consumption Optimization under Exponential O-U Dynamics
Zhaoxiang Zhong, Haiming Song
https://arxiv.org/abs/2508.06491

Computational Methods and Verification Theorem for Portfolio-Consumption Optimization under Exponential O-U Dynamics
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's preferences are modeled using Constant Relative Risk Aversion utility with state-dependent stochastic discounting. The problem can be formulated as a high-dimensional stochastic optimal control problem, wherein the associated value function satisfies a Hamilton-J…

Crosslisted article(s) found for cs.CE. https://arxiv.org/list/cs.CE/new
[1/1]:
- Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks
Albert Di Wang, Ye Du