4 citations · 4 across the 14 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.MF2021
Influence of risk tolerance on long-term investments: A Malliavin calculus approach
Hyungbin Park
This study investigates the influence of risk tolerance on the expected utility in the long run. We estimate the extent to which the expected utility of optimal portfolios is affec…
q-fin.PM2021
A deep learning algorithm for optimal investment strategies
Daeyung Gim, Hyungbin Park
This paper treats the Merton problem how to invest in safe assets and risky assets to maximize an investor's utility, given by investment opportunities modeled by a -dimensional…