Search Results for author:
Found 3 papers, 0 papers with code
Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio
Solving large-scale, continuous-time portfolio optimization problems involving numerous assets and state-dependent dynamics has long been challenged by the curse of dimensionality.
Pontryagin-Guided Deep Learning for Large-Scale Constrained Dynamic Portfolio Choice
We present a Pontryagin-Guided Direct Policy Optimization (PG-DPO) method for constrained dynamic portfolio choice - incorporating consumption and multi-asset investment - that scales to thousands of risky assets.
Estimation of growth in fund models
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
