1 citations · 2 across the 12 of their papers we have counts for
12 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: 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…
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
So-Yoon Cho, Jin-Young Kim, Kayoung Ban +2
Probabilistic forecasting is crucial in multivariate financial time-series for constructing efficient portfolios that account for complex cross-sectional dependencies. In this pape…
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…
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…
Estimation of growth in fund models
Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
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. Equivale…
A Unified Approach to Retirement and Consumption-Portfolio Choice
Junkee Jeon, Hyeng Keun Koo
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the litera…
A problem of optimal switching and singular control with discretionary stopping in portfolio selection
Junkee Jeon, Hyeng Keun Koo
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is const…
Optimal Insurance with Limited Commitment in a Finite Horizon
Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make c…
Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting
Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo
This paper investigates the consumption and risk taking decision of an economic agent with partial irreversibility of consumption decision by formalizing the theory proposed by Due…
Optimal Switching of One-Dimensional Reflected BSDEs, and Associated Multi-Dimensional BSDEs with Oblique Reflection
Shanjian Tang, Wei Zhong, Hyeng Keun Koo
In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the termi…