Portfolio Optimization under Fast and Slow Latent Mean-Reverting and Momentum Drift

By Dannin J. Eccles, Roger Lee

Published 2026-07-02

Everscope rating

1782.7

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Kalman-Bucy Filtering with HJB Stochastic Control. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2607.01705 · Paper rankings

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