3 papers
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…
q-fin.PM2025
Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice
Jeonggyu Huh, Jaegi Jeon, Hyeng Keun Koo +1
We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural polici…
q-fin.PM2025
Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice
Jeonggyu Huh, Jaegi Jeon, Hyeng Keun Koo +1
We introduce the Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for high-dimensional continuous-time portfolio choice. Our approach combines Pontryagin's Maximum P…