2 citations · 2 across the 4 of their papers we have counts for
10 papers
Certified High-Dimensional Wasserstein Robust Portfolio Optimization
Chung-Han Hsieh, Rong Gan
We develop a certified, scalable approximation for high-dimensional Wasserstein distributionally robust portfolio optimization. For expected-utility maximization under order-one Wa…
On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
Chi-Lin Li, Chung-Han Hsieh
This paper proposes a unified adaptive portfolio-management framework that combines factor-based view generation, Black-Litterman (BL) posterior estimation, EWMA covariance estimat…
Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach
Tan Chin Hong, Chung-Han Hsieh
The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. Ho…
Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees
Chung-Han Hsieh
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time o…
Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
Chung-Han Hsieh, Rong Gan
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically inco…
Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
Chung-Han Hsieh, Jow-Ran Chang, Hui Hsiang Chen
A common belief is that leveraged ETFs (LETFs) suffer long-term performance decay due to \emph{volatility drag}. We show that this view is incomplete: LETF performance depends fund…