23 papers
This paper presents an explainable, regime-aware portfolio construction framework using a strictly causal Wasserstein Hidden Markov Model that dynamically adapts regime complexity while preserving economic interpretability, achieving superior risk-adjusted returns and lower drawdowns compared to traditional benchmarks and nonparametric alternatives.
This paper establishes that the optimal rebalancing trajectory for Dynamic Weight Automated Market Makers corresponds to a geodesic under the Fisher-Rao metric (SLERP in Hellinger coordinates), thereby proving that the recursive AM-GM bisection heuristic used in prior work lies exactly on this loss-minimizing path.
This paper presents a probabilistic solution for linear-quadratic optimal control problems with state constraints, providing a representation for the value function and an explicit optimal control that keeps the system within a specified domain while minimizing quadratic control costs.