no code implementations • 8 Oct 2022 • Chengfan Gao, Siping Gao, Ruimeng Hu, Zimu Zhu
In this paper, we provide the rigorous theory for the backward deep BSDE method.
no code implementations • 3 Oct 2022 • Weidong Tian, Zimu Zhu
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky asset does not exceed an exogenous function of the wealth.
no code implementations • 28 May 2020 • Weidong Tian, Zimu Zhu
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk.
