6 papers
Scalable Pontryagin-Guided Adjoint-to-Control Recovery for Constrained Dynamic Portfolio Choice
Jaegi Jeon, Jeonggyu Huh, Hyeng Keun Koo +1
We study continuous-time multi-asset portfolio choice and consumption under smooth pointwise constraints, including state-dependent feasible sets. The method separates dynamic info…
Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice
Jeonggyu Huh, Jaegi Jeon, Hyeng Keun Koo +1
We introduce the Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for high-dimensional continuous-time portfolio choice. Our approach combines Pontryagin's Maximum P…
Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
Jeonggyu Huh, Jaegi Jeon
We present a Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for Merton's portfolio problem, unifying modern neural-network-based policy parameterization with the a…
Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice
Jeonggyu Huh, Jaegi Jeon, Hyeng Keun Koo +1
We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural polici…
Extensive networks would eliminate the demand for pricing formulas
Jaegi Jeon, Kyunghyun Park, Jeonggyu Huh
In this study, we generate a large number of implied volatilities for the Stochastic Alpha Beta Rho (SABR) model using a graphics processing unit (GPU) based simulation and enable…
Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility
Jaegi Jeon, Geonwoo Kim, Jeonggyu Huh
This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) opt…