1 citations · 1 across the 13 of their papers we have counts for
15 papers
Self-Consistent Adjoint Policy Iteration for Constrained Dynamic Portfolio Choice
Jeonggyu Huh, Yeoneung Kim, Seungwon Jeong
We develop simulation-based policy iteration for continuous-time portfolio choice with predictable returns and convex constraints. Each outer step re-evaluates a fixed-latent open-…
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…
From Value Bounds to Policy-Distance and Active-Face Certificates: Same-Grid Duality for Constrained Dynamic Portfolios
Jeonggyu Huh
Neural and numerical policy solvers can produce feasible controls even when the optimal rule and its binding constraints are unavailable. A primal-dual bracket certifies value loss…
Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting
Hojin Ko, Jeonggyu Huh
Most value-based and actor--critic reinforcement learning methods rely on Bellman-style recursions, yet these recursions collapse under non-exponential discounting common in human…
Breaking the Dimensional Barrier: Dynamic Portfolio Choice with Parameter Uncertainty via Pontryagin Projection
Jeonggyu Huh, Hyeng Keun Koo
We study continuous-time CRRA portfolio choice in diffusion markets with estimated and hence uncertain coefficients. Nature draws a latent parameter at time and keeps…
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
Jeonggyu Huh, Seungwon Jeong, Hyun-Gyoon Kim +2
This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing fac…