Merton portfolio optimization with a Wishart-process covariance (Dyson eigenvalue repulsion / RMT), solved via matrix Riccati and a Deep BSDE. 170 tests + CI.
python tensorflow numpy portfolio-optimization computational-finance hjb random-matrix-theory stochastic-control quant-finance merton-model deep-bsde wishart-process
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Updated
Jun 27, 2026 - Python