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Scalable Pontryagin-Guided Adjoint-to-Control Recovery for Constrained Dynamic Portfolio Choice

Author

Listed:
  • Jaegi Jeon
  • Jeonggyu Huh
  • Hyeng Keun Koo
  • Byung Hwa Lim

Abstract

We study continuous-time multi-asset portfolio choice and consumption under smooth pointwise constraints, including state-dependent feasible sets. The method separates dynamic information acquisition from local constrained recovery. A pointwise-feasible neural actor generates reference rollouts; after training, its realized latent outputs are frozen and first- and second-order adjoints are harvested from a fixed-latent open-loop backpropagation-through-time graph. Feedback therefore generates the reference trajectory without restricting the adjoint formulation to Markov controls. Conditional on the harvested adjoints, deployment solves a local generalized Pontryagin-Hamiltonian problem: quadratic-affine portfolio blocks are recovered exactly by a quadratic program, while a log barrier approximates more general regular KKT branches. We establish local chart representations, an OL-BPTT-to-adjoint correspondence retaining orthogonal martingale residuals, and an end-to-end bound from reference value loss and numerical errors to recovered-policy and local QP-gap errors. Analytical constant- and predictable-opportunity benchmarks validate the adjoints. Common-input experiments show that recovery reduces residual PMP/KKT error left by finite-budget direct policy optimization, including under a state-dependent consumption cap and with up to 100 risky assets. Scalability concerns the constrained action block rather than dimension-free state-space complexity.

Suggested Citation

  • Jaegi Jeon & Jeonggyu Huh & Hyeng Keun Koo & Byung Hwa Lim, 2026. "Scalable Pontryagin-Guided Adjoint-to-Control Recovery for Constrained Dynamic Portfolio Choice," Papers 2608.15667, arXiv.org, revised Aug 2026.
  • Handle: RePEc:arx:papers:2608.15667
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    References listed on IDEAS

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