2 papers
q-fin.PM2023
Robust Trading in a Generalized Lattice Market
Chung-Han Hsieh, Xin-Yu Wang
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our frame…
math.OC2023
On Robustness of Double Linear Policy with Time-Varying Weights
Xin-Yu Wang, Chung-Han Hsieh
In this paper, we extend the existing double linear policy by incorporating time-varying weights instead of constant weights and study a certain robustness property, called robust…