Browsing Data Science by Subject "factor investing"
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A Robust Neural Network Approach to Optimal Decumulation and Factor Investing in Defined Contribution Pension Plans
(University of Waterloo, 2023-09-18)In this thesis, we propose a novel data-driven neural network (NN) optimization framework for solving an optimal stochastic control problem under stochastic constraints. The NN utilizes customized output layer activation ...