3 citations · 3 across the 3 of their papers we have counts for
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q-fin.PM2024★ 3 cited
Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
Yaacov Kopeliovich, Michael Pokojovy
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfol…
q-fin.MF2024
On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
Yaacov Kopeliovich, Michael Pokojovy, Julia Bernatska
We consider a stock that follows a geometric Brownian motion (GBM) and a riskless asset continuously compounded at a constant rate. We assume that the stock can go bankrupt, i.e.,…