10 citations · 35 across the 17 of their papers we have counts for
3 papers · 1 filter
Deep Semi-Martingale Optimal Transport
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal cons…
Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass tr…
Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within…