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.
Sharpe, Capital asset prices: A theory of market equilibrium under con- ditions of risk,Journal of Finance.19(3), 425–442 (1964)
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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.