Causal PDE-Control Models combine causal drivers with PDE control and filtering to deliver interpretable dynamic portfolio rules that outperform benchmarks in Sharpe ratio and turnover on U.S. equity data.
Lintner, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets,The Review of Economics and Statis- tics.47(1), 13–37 (1965)
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Causal PDE-Control Models for Dynamic Portfolio Optimization with Latent Drivers
Causal PDE-Control Models combine causal drivers with PDE control and filtering to deliver interpretable dynamic portfolio rules that outperform benchmarks in Sharpe ratio and turnover on U.S. equity data.