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] -> o
+ Supplementary proofs: Detailed Proof of Theorem 3 — BPTT–BSDE Equivalence [PDF] · Detailed Proof of Theorem 4 — Policy-Gap Bounds [PDF]
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
Structure-Preserving Policy Iteration for Dynamic Portfolio Choice: Whole-Space Convergence, Localization, and Neural Certification, with Yeoneung Kim, Seungwon Jeong
Finite Horizon and Optimal Portfolio Choice with Stochastic Income: A Reinforcement Learning Approach, with Seyoung Park, Hojin Ko, Alain Bensoussan-> o
Pontryagin-Guided Deep Hedging, with Seungho Na, Hojin Ko
Recovering the Kinks in Delay Control: A Structure-Aware Optimal Control Solver with Pontryagin Projection, with Seungwon Jeong, Jihun Kim
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
Beyond its current scope, PG-DPO admits natural extensions to partial equilibrium settings—including robust optimization, rough volatility, regime, taxation, Epstein-Zin utility, smooth ambiguity and belief-state dynamics—as well as general equilibrium frameworks such as mean-field control and multi-agent games.