A deep learning method for optimal investment under relative performance criteria among heterogeneous agents
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
| Year of publication: |
2025
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| Authors: | Laurière, Mathieu ; Tangpi, Ludovic ; Zhou, Xuchen |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 326.2025, 3 (1.11.), p. 615-629
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| Subject: | (R) machine learning | Heterogeneous interaction | McKean-Vlasov equations | Neural networks | Stochastic graphon games | Utility maximization | Theorie | Theory | Neuronale Netze | Künstliche Intelligenz | Artificial intelligence | Agentenbasierte Modellierung | Agent-based modeling | Stochastischer Prozess | Stochastic process | Lernprozess | Learning process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2025.04.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015433472