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        Department of Systems Engineering and Engineering Management

              The Chinese University of Hong Kong

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Date: 16:30 pm - 17:30 pm on 19 November (Wednesday)

Venue: ERB 706, The Chinese University of Hong Kong

Title: Dynamic Portfolio Optimization: Analytical and Computational Frontiers

Speaker: Hyeng Keun Koo, School of Business, Ajou University





Abstract:

Dynamic portfolio theory (DPT) provides a continuous-time foundation for intertemporal investment and consumption, yet it has rarely been implemented in practice. This talk identifies two fundamental barriers:

(i) the mathematical intractability of high-dimensional optimization with dynamic constraints, and (ii) the lack of realistic, investor-consistent payout policies. We present two complementary research paths to overcome these challenges. The first develops analytical methods based on dual martingale theory, optimal switching, and high-dimensional PDEs to characterize optimal payout and consumption policies under habit formation and adjustment costs. The second introduces a computational framework—Pontryagin-Guided Direct Policy Optimization (PG-DPO)—which exploits a newly established connection between machine learning and Pontryagin's maximum principle. Together, these approaches have the potential to bridge the gap between the theory and practice of long-term asset management.



Bio:

Hyeng Keun Koo is Professor Emeritus of Finance and Financial Engineering at Ajou University, Korea. He earned Ph.D. degrees in Economics from Princeton University under John Y. Campbell and in Mathematics from the University of Texas at Austin. He was a leading member of Korea's World Class University (WCU) program on financial engineering, fostering interdisciplinary research between mathematics and finance.



Professor Koo is the founder of FIST Global, Korea's first risk management software company—later succeeded by MetaNet Fintech, Tria, and Juro Instruments—which received The Asian Banker Awards for Best Risk Technology Implementation in Asia. His research integrates dynamic portfolio theory, stochastic control, and machine learning, with recent work on Pontryagin-guided deep policy optimization and equilibrium asset pricing with consumption frictions. He has published widely in leading journals including the Journal of Finance, Journal of Economic Theory, Mathematical Finance, SIAM Journal on Financial Mathematics, Operations Research, Mathematics of Operations Research, and Mathematics and Financial Economics.



He has served as President of the Korean Association of Financial Engineering and as Chair of the Research Committee of the Korea Blockchain Association.