SPMS 2025

Session

Dynamic Decision Making

Jun 22, 2025, 10:10 AM

Conveners

Dynamic Decision Making

• František Gašpar

3. Tools for Adaptive Portfolio Optimization

Tomáš Procházka

6/22/25, 10:10 AM

This research project presents a combination of techniques to develop a
sound mathematical approach to the portfolio optimization problem. The problem
is formulated as a Linear Quadratic Regulator and solved using Dynamic Program-
ming. The key contributions include integrating multivariate regression modeling of
returns with structure estimation for the regressor subset and employing...

18. Belief and Reality in Quantum-Like Model: Lessons from a Rat in a Maze

Mr Aleksej Gaj

6/22/25, 10:35 AM

We present a simple toy model of a rat moving in a maze [1, 2], where the rat’s motion is governed by a quantum-inspired rule. At each time step, the rat samples its next position from a probability distribution that evolves according to a fixed Hamiltonian. This gives rise to the objective probability — the distribution that actually drives the rat’s movement.
Meanwhile, an observer outside...