1 citations · 2 across the 12 of their papers we have counts for
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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…