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Author

Jaegi Jeon

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Preprint Aug 2026

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

We study continuous-time multi-asset portfolio choice and consumption under smooth pointwise constraints, including state-dependent feasible sets. The method separates dynamic information acquisition from local constrained recovery. A pointwise-feasible neural actor generates reference rollouts; after training, its rea...

Jaegi Jeon, Jeonggyu Huh, H. Koo et al. · 2 citations

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