19 citations · 134 across the 31 of their papers we have counts for
32 papers
Cost-Sensitive Online Window Size Selection for Portfolio Management
Yi-Chen Liu, Chung-Han Hsieh
This paper investigates cost-sensitive online window size selection for portfolio management under changing market conditions. Specifically, we propose a two-level framework that c…
On Control of Drawdown: Robust Invariance and Optimality
Chung-Han Hsieh
Mitigating \emph{drawdown}, the decline in wealth from its running peak, presents a canonical problem in path-dependent risk control. In this paper, we develop a finite-horizon con…
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…
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…
On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
Chung-Han Hsieh, Xiao-Rou Yu
This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a gene…
On Accelerating Large-Scale Robust Portfolio Optimization
Chung-Han Hsieh, Jie-Ling Lu
Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data c…
On Risk-Sensitive Decision Making Under Uncertainty
Chung-Han Hsieh, Yi-Shan Wong
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decisio…
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…
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…
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…
On Data-Driven Drawdown Control with Restart Mechanism in Trading
Chung-Han Hsieh
This paper extends the existing drawdown modulation control policy to include a novel restart mechanism for trading. It is known that the drawdown modulation policy guarantees the…
On Frequency-Based Optimal Portfolio with Transaction Costs
Chung-Han Hsieh, Yi-Shan Wong
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected log…
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 Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
Pei-Ting Wang, Chung-Han Hsieh
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a tradi…
On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach
Chung-Han Hsieh
A {log-optimal} portfolio is any portfolio that maximizes the expected logarithmic growth (ELG) of an investor's wealth. This maximization problem typically assumes that the inform…
From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
Chung-Han Hsieh
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital acros…
On Asymptotic Log-Optimal Buy-and-Hold Strategy
Chung-Han Hsieh
In this paper, we consider a frequency-based portfolio optimization problem with assets when the expected logarithmic growth (ELG) rate of wealth is used as the performa…
On Control of Epidemics with Application to COVID-19
Chung-Han Hsieh
At the time of writing, the ongoing COVID-19 pandemic, caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), had already resulted in more than thirty-two million…
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…
Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders
Chung-Han Hsieh
The takeoff point of this paper is to generalize the existing stock trading results for a class of affine feedback controller to include consideration of a stop-loss order. Using t…
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…