2 papers
math.OC2026
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-…
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…