2 papers
cs.LG2026
Conditionally Identifiable Latent Representation for Multivariate Time Series with Structural Dynamics
Minkey Chang, Jae-Young Kim
We propose the Identifiable Variational Dynamic Factor Model (iVDFM), which learns latent factors from multivariate time series with identifiability guarantees. By applying iVAE-st…
q-fin.GN2026
Portfolio Optimization under Recursive Utility via Reinforcement Learning
Minkey Chang
We study whether a risk-sensitive objective from asset-pricing theory -- recursive utility -- improves reinforcement learning for portfolio allocation. The Bellman equation under r…