most citedAutomatic Domain Adaptation Outperforms Manual Domain Adaptation for Predicting Financial Outcomes

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q-fin.MF2020

Continuous time mean-variance-utility portfolio problem and its equilibrium strategy

Ben-Zhang Yang, Xin-Jiang He, Song-Ping Zhu

In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controll…