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q-fin.CP2024
Deep Learning Methods for S Shaped Utility Maximisation with a Random Reference Point
Ashley Davey, Harry Zheng
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We de…
q-fin.CP2020
Deep Learning for Constrained Utility Maximisation
Ashley Davey, Harry Zheng
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovia…