The authors introduce Time to Transition (TtT) extracted from cross-maturity greenium differences and develop tractable deadline-constrained and regime-switching diffusion models with exact likelihoods and asymptotic identification results for inference.
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MetaRL pre-trained on GBWM problems delivers near-optimal dynamic strategies in 0.01s achieving 97.8% of DP optimal utility and handles larger problems where DP fails.
A novel state-space dynamic functional regression model is proposed for multicurve fixed income spread analysis and stress testing, integrating dynamic Nelson-Siegel with kernel PCA for tractable estimation.
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Market-implied time to transition to a low-carbon economy: a stochastic modelling and inference framework
The authors introduce Time to Transition (TtT) extracted from cross-maturity greenium differences and develop tractable deadline-constrained and regime-switching diffusion models with exact likelihoods and asymptotic identification results for inference.
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A Meta Reinforcement Learning Approach to Goals-Based Wealth Management
MetaRL pre-trained on GBWM problems delivers near-optimal dynamic strategies in 0.01s achieving 97.8% of DP optimal utility and handles larger problems where DP fails.
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State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
A novel state-space dynamic functional regression model is proposed for multicurve fixed income spread analysis and stress testing, integrating dynamic Nelson-Siegel with kernel PCA for tractable estimation.