29 citations · 30 across the 5 of their papers we have counts for
3 papers · 1 filter
Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning
Ali Al-Aradi, Adolfo Correia, Danilo Naiff +2
In this work we apply the Deep Galerkin Method (DGM) described in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations that arise in quantitative f…
Technical Uncertainty in Real Options with Learning
Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after whic…
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
Ali Al-Aradi, Sebastian Jaimungal
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we f…