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20202025
most citedDuality for optimal consumption with randomly terminating income

3 citations · 3 across the 4 of their papers we have counts for

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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…