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.
Kalman, A new approach to linear filtering and prediction problems,Jour- nal of Basic Engineering.82, 35–45 (1960)
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
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.