Zhu, Yichen; Escobar, Marcos - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
This paper proposes an approximation method to create an optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. This work is motivated by the increasing complexity of continuous-time models and stylized facts reported in the literature....