Working Papers

• Forward-Looking Predictors and Shapley Screening in Risk Premium Forecasting, with Seung-won Jeong, Jaegi Jeon

• Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice, with Jaegi Jeon, Hyeng-Keun Koo, Byung Hwa Lim  Link

• MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks, with Hyeng-Keun Koo, Byung Hwa Lim,  Hyun-Gyoon Kim

• Breaking the Dimensional Barrier for Time-Inconsistent Mean-Variance Portfolio Selection, with Hyeng-Keun Koo, Seung-won Jeong, Byung Hwa Lim

• A Unified Framework Linking Deep Learning and Optimal Control: Backpropagation Realizes Pontryagin’s Principle, with Hyeng-Keun Koo, Seung-won Jeong GitHub

• Breaking the Dimensional Barrier in Dynamic Portfolio Choice with Transaction Costs

*  Beyond its current scope, PG-DPO may admit natural extensions to  1) mean-field control, 2) optimal stopping, 3) taxation, 4) robust control, 5) habit, 6) mean-field game, and 7) multi-agent frameworks.