375 citations · 608 across the 47 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.PM2023★ 2 cited
D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options
Kristoffer Andersson, Cornelis W. Oosterlee
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in whi…
math.NA2023★ 1 cited
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1
Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…