no code implementations • 26 Dec 2018 • Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts, Cristin Buescu
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two assets that are intertwined.