Nonconcave Utility Maximization with Portfolio Bounds.

Min Dai Steven Kou Shuaijie Qian Xiangwei Wan

Published in: Manag. Sci. (2022)

Keyphrases

utility maximization
utility function
lower bound
upper bound
sample path
stochastic gradient
worst case
large deviations
decision making
support vector
average case
asymptotically optimal
generalization bounds
single period