29 citations · 30 across the 5 of their papers we have counts for
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q-fin.CP2019★ 1 cited
Extensions of the Deep Galerkin Method
Ali Al-Aradi, Adolfo Correia, Danilo de Frietas Naiff +2
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018)} to solve a number of partial differential equations (PDEs) that arise in the context of op…
q-fin.PM2019
Active and Passive Portfolio Management with Latent Factors
Ali Al-Aradi, Sebastian Jaimungal
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimart…