3 papers
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…
math.OC2025
Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
Jeonggyu Huh, Jaegi Jeon
We present a Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for Merton's portfolio problem, unifying modern neural-network-based policy parameterization with the a…