Papers and research projects

The papers/ directory is available in a GitHub clone and is intentionally excluded from PyPI wheel and source distributions.

Goal-based allocation paper

papers/goal_based_allocation_2026/ contains the LaTeX source, compiled PDF, tracked figures, and the figure-generation/integration script for Sepp (2026), Dynamic Mean-Variance Portfolio Allocation under Regime-Switching Jump-Diffusions with Absorbing Barriers and Distribution Matching (SSRN 6534579).

Use the temporary-output command in validation. The --test mode also generates figures; it is not a read-only test switch.

KOSPI volatility study

papers/kospi_volatility_fit_jun2026/ is a separate repository-only calibration study using the shipped regime-switching option pricer. It has additional research dependencies (including pandas) and stored Bloomberg-derived option-chain snapshots. Those dependencies and data are not part of the core package contract or a general data service.

See the study’s README.md for its methods, provenance, limitations, and commands.

Output policy

Do not commit newly generated calibration output or documentation builds. Existing tracked paper figures are replication artifacts; path-only or packaging changes must preserve their bytes.