Saved in:
| Main Authors: | Gang, Tae Ung, Park, Seyoung, Shin, Yong Hyun |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2509.12874 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Impact Of Income And Leisure On Optimal Portfolio, Consumption, Retirement Decisions Under Exponential Utility
by: Gang, Tae Ung, et al.
Published: (2024)
by: Gang, Tae Ung, et al.
Published: (2024)
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022)
by: Gabih, Abdelali, et al.
Published: (2022)
Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023)
by: Gabih, Abdelali, et al.
Published: (2023)
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)
by: Borgonovo, Emanuele, et al.
Published: (2026)
Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)
by: Gabih, Abdelali, et al.
Published: (2023)
Two-fund separation under hyperbolically distributed returns and concave utility functions
by: Abudurexiti, Nuerxiati, et al.
Published: (2024)
by: Abudurexiti, Nuerxiati, et al.
Published: (2024)
Optimal two-parameter portfolio management strategy with transaction costs
by: Ma, Chutian, et al.
Published: (2024)
by: Ma, Chutian, et al.
Published: (2024)
Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)
by: Angoshtari, Bahman, et al.
Published: (2024)
Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
by: Orozco, German Nova, et al.
Published: (2026)
by: Orozco, German Nova, et al.
Published: (2026)
Entropy Regularization under Bayesian Drift Uncertainty
by: Au, Andy
Published: (2026)
by: Au, Andy
Published: (2026)
Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)
by: Chen, An, et al.
Published: (2023)
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Retirement decision with addictive habit persistence in a jump diffusion market
by: Guan, Guohui, et al.
Published: (2020)
by: Guan, Guohui, et al.
Published: (2020)
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)
by: Bäuerle, Nicole, et al.
Published: (2021)
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
by: Tian, Dejian, et al.
Published: (2025)
by: Tian, Dejian, et al.
Published: (2025)
Optimal vs. Naive Diversification in the Cryptocurrencies Market: The Role of Time-Varying Moments and Transaction Costs
by: Chen, Heming, et al.
Published: (2025)
by: Chen, Heming, et al.
Published: (2025)
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
by: Lleo, Sebastien, et al.
Published: (2025)
by: Lleo, Sebastien, et al.
Published: (2025)
Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)
by: Černý, Aleš, et al.
Published: (2025)
The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)
by: Pav, Steven E.
Published: (2026)
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
M6 Investment Challenge: The Role of Luck and Strategic Considerations
by: Staněk, Filip
Published: (2024)
by: Staněk, Filip
Published: (2024)
On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)
by: Lefevre, Claude, et al.
Published: (2026)
Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)
by: Gutekunst, Florian, et al.
Published: (2025)
Optimal trend following portfolios
by: Valeyre, Sebastien
Published: (2022)
by: Valeyre, Sebastien
Published: (2022)
A Deep Reinforcement Learning Framework for Dynamic Portfolio Optimization: Evidence from China's Stock Market
by: Huang, Gang, et al.
Published: (2024)
by: Huang, Gang, et al.
Published: (2024)
Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)
by: Sekine, Masashi
Published: (2026)
Optimal Control of Reserve Asset Portfolios for Stablecoins
by: Hammerl, Alexander
Published: (2025)
by: Hammerl, Alexander
Published: (2025)
Optimal Option Portfolios for Skew-Elliptical t Returns
by: Sung, Kyle, et al.
Published: (2026)
by: Sung, Kyle, et al.
Published: (2026)
Optimal investment in ambiguous financial markets with learning
by: Bäuerle, Nicole, et al.
Published: (2023)
by: Bäuerle, Nicole, et al.
Published: (2023)
An Explicit Solution for the Problem of Optimal Investment with Random Endowment
by: Donisch, Michael, et al.
Published: (2025)
by: Donisch, Michael, et al.
Published: (2025)
Cost-efficiency in Incomplete Markets
by: Bernard, Carole, et al.
Published: (2022)
by: Bernard, Carole, et al.
Published: (2022)
Optimal life insurance and annuity decision under money illusion
by: Li, Wenyuan, et al.
Published: (2024)
by: Li, Wenyuan, et al.
Published: (2024)
Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
A post hoc test on the Sharpe ratio
by: Pav, Steven
Published: (2019)
by: Pav, Steven
Published: (2019)
Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)
by: Lamert, Kerstin, et al.
Published: (2023)
Research on Optimal Portfolio Based on Multifractal Features
by: Li, Yong
Published: (2024)
by: Li, Yong
Published: (2024)
Stochastic Optimal Control of Iron Condor Portfolios for Profitability and Risk Management
by: Huang, Hanyue, et al.
Published: (2025)
by: Huang, Hanyue, et al.
Published: (2025)
Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)
by: Birungi, Criscent, et al.
Published: (2025)
Similar Items
-
Impact Of Income And Leisure On Optimal Portfolio, Consumption, Retirement Decisions Under Exponential Utility
by: Gang, Tae Ung, et al.
Published: (2024) -
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022) -
Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023) -
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026) -
Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)