3 papers
q-fin.MF2026
Merton's Problem with Recursive Perturbed Utility
Min Dai, Yuchao Dong, Yanwei Jia +1
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer rando…
math.OC2024
Learning to Optimally Stop Diffusion Processes, with Financial Applications
Min Dai, Yu Sun, Zuo Quan Xu +1
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…
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…