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Robust utility maximization under model uncertainty via a penalization approach
Journal article
Mathematics and Financial Economics,2022, volume: 16, issue: 1, pages: 51-88
Authors:
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
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Submit date：2022/08/29
Differential games
GANs
HJBI equation
Monte Carlo
Robust portfolio optimization
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