Scalable Pontryagin-Guided Adjoint-to-Control Recovery for Constrained Dynamic Portfolio Choice

By Jaegi Jeon, Jeonggyu Huh, Hyeng Keun Koo, Byung Hwa Lim

Published 2026-08-29

Everscope rating

1596.8

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Pontryagin-Guided Adjoint-to-Control Recovery (PGDPO). Problem types: Portfolio Optimization, Optimization, Reinforcement Learning, Risk Management.

arXiv:2608.15667 · Code · Paper rankings

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