Corpus ID: 231728439

A deep learning algorithm for optimal investment strategies

@inproceedings{Gim2021ADL,
  title={A deep learning algorithm for optimal investment strategies},
  author={Dae-Young Gim and Hyungbin Park},
  year={2021}
}
This paper treats the Merton problem how to invest in safe assets and risky assets to maximize an investor’s utility, given by investment opportunities modeled by a d-dimensional state process. The problem is represented by a partial differential equation with optimizing term: the Hamilton–Jacobi–Bellman equation. The main purpose of this paper is to solve partial differential equations derived from the Hamilton–Jacobi–Bellman equations with a deep learning algorithm: the Deep Galerkin method… Expand

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