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q-fin.PM2026
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…
q-fin.CP2026
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…
q-fin.ST2026
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…