Optimal Portfolio Control on Merton Model Diffusion-only standard (val)
76.2Optimal Control uNeural Solver
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Neural SolverSeeds=5, Importance proposal=corrected importance proposal of §4.5, Risk-free rate=0.02, Expected return=0.08, Volatility=0.2, Risk aversion=2.0, Horizon=1 year2026.05 | 76.2 | 1.6 | |
| Analytical (Merton)Risk-free rate=0.02, Expected return=0.08, Volatility=0.2, Risk aversion=2.0, Horizon=1 year2026.05 | 75 | — |