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most citedPolicy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms

17 citations · 20 across the 16 of their papers we have counts for

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q-fin.PM2023

Data-Driven Merton's Strategies via Policy Randomization

Min Dai, Yuchao Dong, Yanwei Jia +1

We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primi…