고호진 (Hojin Ko)
M.S. student (Semester 0)
Non-exponential discounting frameworks · paper accepted to ICML 2026
논문
- Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, Hojin Ko*, Jeonggyu Huh*, accepted in International Conference on Machine Learning (ICML), 2026
- Rec-ve-ing No-Tr-de Re-i-ns: Pont--a-in-Gui--d Po--cy Proj--tion f-r Tr--action-C-st -ont-ol, submitted
- Decision-Focused Conditional Beta Learning for Cost-Aware Portfolio Optimization, submitted
진행 중 논문
- Finite-Horizon Stochastic Income and Optimal Policies via Pontryagin-Guided Direct Policy Optimization
- Breaking the Dimensional Barrier for Dynamic Portfolio Choice with Optimal Stopping
- Macro-Based Forecasting of Implied Volatility Surface Dynamics
진행 중 과제
- ELS Hedging Decision-Making System Using Neural Optimal Control, Jul. 2026–Jun. 2027, RiskX-led project, 2026 Seoul FinTech Technology Commercialization Support Program
발표
- Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, The 2nd Sookmyung-TMU Mathematical Finance Workshop with Young Researchers, 2026
- Breaking the Dimensional Barrier in Dynamic Portfolio Choice with Transaction Costs, The Korean Operations Research and Management Science Society (KORMS), Oral Presentation, Spring 2026
- Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, International Conference on Machine Learning (ICML), Poster, 2026 예정