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…
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 man…
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…
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…