Breaking the Dimensional Barrier: Dynamic Portfolio Choice with Parameter Uncertainty via Pontryagin Projection
Fuente:
arXiv
Saved in:
| Main Authors: | Huh, Jeonggyu, Koo, Hyeng Keun |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice
by: Huh, Jeonggyu, et al.
Published: (2025)
by: Huh, Jeonggyu, et al.
Published: (2025)
Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice
by: Huh, Jeonggyu, et al.
Published: (2025)
by: Huh, Jeonggyu, et al.
Published: (2025)
Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
by: Huh, Jeonggyu, et al.
Published: (2024)
by: Huh, Jeonggyu, et al.
Published: (2024)
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
by: Huh, Jeonggyu, et al.
Published: (2026)
by: Huh, Jeonggyu, et al.
Published: (2026)
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
by: Cho, So-Yoon, et al.
Published: (2025)
by: Cho, So-Yoon, et al.
Published: (2025)
Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)
by: Choi, Jaehyuk, et al.
Published: (2023)
Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting
by: Ko, Hojin, et al.
Published: (2026)
by: Ko, Hojin, et al.
Published: (2026)
Tailoring Portfolio Choice via Quantile-Targeted Policies
by: Barunik, Jozef, et al.
Published: (2025)
by: Barunik, Jozef, et al.
Published: (2025)
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
by: PASCAL J. MAENHOUT, et al.
Published: (2026)
by: PASCAL J. MAENHOUT, et al.
Published: (2026)
DeTEcT: Dynamic and Probabilistic Parameters Extension
by: Sadykhov, Rem, et al.
Published: (2024)
by: Sadykhov, Rem, et al.
Published: (2024)
Factor Dimensionality and the Bias-Variance Tradeoff in Diffusion Portfolio Models
by: Bagchi, Avi, et al.
Published: (2026)
by: Bagchi, Avi, et al.
Published: (2026)
Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks
by: Di Wang, Albert, et al.
Published: (2025)
by: Di Wang, Albert, et al.
Published: (2025)
PLUTUS Open Source -- Breaking Barriers in Algorithmic Trading
by: Nguyen, An-Dan, et al.
Published: (2025)
by: Nguyen, An-Dan, et al.
Published: (2025)
Optimal Portfolio Choice With Cross‐Impact Propagators
by: Eduardo Abi Jaber, et al.
Published: (2026)
by: Eduardo Abi Jaber, et al.
Published: (2026)
Machine Learning Classification and Portfolio Allocation: with Implications from Machine Uncertainty
by: Bai, Yang, et al.
Published: (2021)
by: Bai, Yang, et al.
Published: (2021)
Portfolio Optimization under Recursive Utility via Reinforcement Learning
by: Chang, Minkey
Published: (2026)
by: Chang, Minkey
Published: (2026)
Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden
by: SYLVAIN CATHERINE, et al.
Published: (2024)
by: SYLVAIN CATHERINE, et al.
Published: (2024)
Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies
by: Chen, Qizhao
Published: (2025)
by: Chen, Qizhao
Published: (2025)
Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
by: Han, Jeong Yu, et al.
Published: (2022)
by: Han, Jeong Yu, et al.
Published: (2022)
Optimizing Transition Strategies for Small to Medium Sized Portfolios
by: Upadhya, Nakul, et al.
Published: (2024)
by: Upadhya, Nakul, et al.
Published: (2024)
Diffusion-Augmented Reinforcement Learning for Robust Portfolio Optimization under Stress Scenarios
by: Choudhary, Himanshu, et al.
Published: (2025)
by: Choudhary, Himanshu, et al.
Published: (2025)
What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions
by: TAHA CHOUKHMANE, et al.
Published: (2025)
by: TAHA CHOUKHMANE, et al.
Published: (2025)
Financial News-Driven LLM Reinforcement Learning for Portfolio Management
by: Unnikrishnan, Ananya
Published: (2024)
by: Unnikrishnan, Ananya
Published: (2024)
Making Leveraged Exchange-Traded Funds Work for your Portfolio
by: Forsyth, Peter, et al.
Published: (2025)
by: Forsyth, Peter, et al.
Published: (2025)
Dynamic Portfolio Optimization via Augmented DDPG with Quantum Price Levels-Based Trading Strategy
by: Lin, Runsheng, et al.
Published: (2025)
by: Lin, Runsheng, et al.
Published: (2025)
An Efficient Bayesian Framework for Inverse Problems via Optimization and Inversion: Surrogate Modeling, Parameter Inference, and Uncertainty Quantification
by: Chiappetta, Mihaela, et al.
Published: (2026)
by: Chiappetta, Mihaela, et al.
Published: (2026)
Vector-Quantized Discrete Latent Factors Meet Financial Priors: Dynamic Cross-Sectional Stock Ranking Prediction for Portfolio Construction
by: Kim, Namhyoung, et al.
Published: (2026)
by: Kim, Namhyoung, et al.
Published: (2026)
Optimizing Portfolio Management and Risk Assessment in Digital Assets Using Deep Learning for Predictive Analysis
by: Cheng, Qishuo, et al.
Published: (2024)
by: Cheng, Qishuo, et al.
Published: (2024)
From Headlines to Holdings: Deep Learning for Smarter Portfolio Decisions
by: Lin, Yun, et al.
Published: (2025)
by: Lin, Yun, et al.
Published: (2025)
DeepUnifiedMom: Unified Time-series Momentum Portfolio Construction via Multi-Task Learning with Multi-Gate Mixture of Experts
by: Ong, Joel, et al.
Published: (2024)
by: Ong, Joel, et al.
Published: (2024)
MOOSE-Star: Unlocking Tractable Training for Scientific Discovery by Breaking the Complexity Barrier
by: Yang, Zonglin, et al.
Published: (2026)
by: Yang, Zonglin, et al.
Published: (2026)
Black-Litterman and ESG Portfolio Optimization
by: Alpern, Aviv, et al.
Published: (2025)
by: Alpern, Aviv, et al.
Published: (2025)
Deep Declarative Risk Budgeting Portfolios
by: Parra-Diaz, Manuel, et al.
Published: (2025)
by: Parra-Diaz, Manuel, et al.
Published: (2025)
Single-Period Portfolio Selection via Information Projection
by: Yang, Bo-Yu, et al.
Published: (2026)
by: Yang, Bo-Yu, et al.
Published: (2026)
Surrogate Structure-Specific Probabilistic Dynamic Responses of Bridge Portfolios using Deep Learning with Partial Information
by: Ning, Chunxiao, et al.
Published: (2025)
by: Ning, Chunxiao, et al.
Published: (2025)
SBCA: Cross-Modal BERT-driven Actor-Critic for Multi-Asset Portfolio Optimization
by: Pan, Jinfeng, et al.
Published: (2026)
by: Pan, Jinfeng, et al.
Published: (2026)
Pricing Barrier Options with DeepBSDEs
by: Ganesan, Narayan, et al.
Published: (2020)
by: Ganesan, Narayan, et al.
Published: (2020)
Portfolio Preference Elicitation in Institutional Crossing Markets
by: Hwang, Yoontae
Published: (2026)
by: Hwang, Yoontae
Published: (2026)
Adaptive and Regime-Aware RL for Portfolio Optimization
by: Raj, Gabriel Nixon
Published: (2025)
by: Raj, Gabriel Nixon
Published: (2025)
Finding Near-Optimal Portfolios With Quality-Diversity
by: Gašperov, Bruno, et al.
Published: (2024)
by: Gašperov, Bruno, et al.
Published: (2024)
Similar Items
-
Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice
by: Huh, Jeonggyu, et al.
Published: (2025) -
Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice
by: Huh, Jeonggyu, et al.
Published: (2025) -
Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
by: Huh, Jeonggyu, et al.
Published: (2024) -
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
by: Huh, Jeonggyu, et al.
Published: (2026) -
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
by: Cho, So-Yoon, et al.
Published: (2025)