Monotone 2D Integration Scheme for Mean–CVaR Optimization via Fourier-Trained Transition Kernels

By Duy-Minh Dang, Hao Zhou

Published 2026-03-27

Everscope rating

1984.9

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Fourier-trained Gaussian-mixture transition kernel with composite quadrature and FFT. Problem types: Portfolio Optimization, Risk Management, Optimization, Density Estimation, Stochastic Control.

arXiv:2603.26291 · Paper rankings

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