19 citations · 62 across the 5 of their papers we have counts for
9 papers
On Robustness of Double Linear Trading with Transaction Costs
Chung-Han Hsieh
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as…
On Feedback Control in Kelly Betting: An Approximation Approach
Chung-Han Hsieh
In this paper, we consider a simple discrete-time optimal betting problem using the celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of w…
Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio
Chung-Han Hsieh
In this paper, we consider a discrete-time portfolio with assets optimization problem which includes the rebalancing~frequency as an additional parameter in the maximiza…
The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attentio…
On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We consider a discrete-time, linear state equation with delay which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The…
Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework
Chung-Han Hsieh, John A. Gubner, B. Ross Barmish
In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing liter…