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A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk.
Bahareh Afhami
Mohsen Rezapour
Mohsen Madadi
Vahed Maroufy
Published in:
Appl. Math. Comput. (2023)
Keyphrases
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closed form
high level
formal model
statistical model
theoretical framework
computational model
theoretical analysis
closed form solutions
risk factors
risk assessment
neural network
em algorithm
probability distribution
cost function
prior knowledge
objective function
genetic algorithm