Optimal Portfolio Control on Merton Model Variance Gamma Jumps standard (val)
0.344Optimal uNeural Solver
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Neural SolverSeeds=5, Importance proposal=corrected importance proposal of §4.5, Truncation=|z| ∈ [0.01, 0.99], VG parameters (sigma, theta, nu)=σVG = 0.2, θ = -0.1, ν = 0.3, Risk-free rate=0.02, Expected return=0.08, Volatility=0.2, Risk aversion=2.0, Horizon=1 year2026.05 | 0.344 | -54.1 |