5 papers
Robust Bayesian Portfolio Optimization with Discrepancy-based Posterior Ambiguity
Zongxia Liang, Yang Liu, Xingjian Ma
We study a continuous-time robust Bayesian portfolio optimization problem under drift uncertainty of risky assets. The investor learns unknown asset drifts through Bayesian filteri…
Beyond Bellman: High-Order Generator Regression for Continuous-Time Policy Evaluation
Yaowei Zheng, Richong Zhang, Shenxi Wu +5
We study finite-horizon continuous-time policy evaluation from discrete closed-loop trajectories under time-inhomogeneous dynamics. The target value surface solves a backward parab…
Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
Guohui Guan, Zongxia Liang, Xingjian Ma
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market i…
Hyperparameter Transfer Laws for Non-Recurrent Multi-Path Neural Networks
Shenxi Wu, Haosong Zhang, Xingjian Ma +4
Deeper modern architectures are costly to train, making hyperparameter transfer preferable to expensive repeated tuning. Maximal Update Parametrization (P) helps explain why ma…
ATLAS: A High-Difficulty, Multidisciplinary Benchmark for Frontier Scientific Reasoning
Hongwei Liu, Junnan Liu, Shudong Liu +33
The rapid advancement of Large Language Models (LLMs) has led to performance saturation on many established benchmarks, questioning their ability to distinguish frontier models. Co…