19 citations · 76 across the 20 of their papers we have counts for
19 papers · 1 filter
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…
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…
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…