19 citations · 134 across the 31 of their papers we have counts for
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math.OC2017★ 17 cited
On Kelly Betting: Some Limitations
Chung-Han Hsieh, B. Ross Barmish
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion ca…
math.OC2017★ 19 cited
On Drawdown-Modulated Feedback Control in Stock Trading
Chung-Han Hsieh, B. Ross Barmish
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivati…