Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio, Jeonggyu Huh*, Jaegi Jeon, Hyeng-Keun Koo, Byung-Hwa Lim* [Paper] [Code] [Slides] -> h
Breaking the Dimensional Barrier: Dynamic Portfolio Choice with Parameter Uncertainty via Pontryagin Projection, Jeonggyu Huh*, Hyeng-Keun Koo [Paper] [Slide]
From Value Bounds to Policy-Distance and Active-Face Certificates: Same-Grid Duality for Constrained Dynamic Portfolios [Link]
A Computational Framework for Decision-Aligned Conditional Betas in Cost-Aware Portfolio Optimization, Dongwan Shin*, Hojin Ko, Jeonggyu Huh*
>> Stochastic Control
Finite Horizon and Optimal Portfolio Choice with Stochastic Income: A Reinforcement Learning Approach, with Seyoung Park, Hojin Ko, Alain Bensoussan -> h
Pontryagin-Guided Deep Hedging, with Seungho Na, Hojin Ko
Scalable Distributionally Robust Portfolio Choice via Pontryagin-Guided Direct Policy Optimization, with Ho-Jun Lee
>> DeepONet
Real-Time Pricing of Equity-Linked Securities Using Deep Operator Networks, with Yoonyoung Byun, Jae Wook Song, Juhwan Kim
>> Asset Pricing
Discounted Alpha: A Machine Learning Framework for Equity Valuation, with Dongwan Shin, Thummim Cho