19 citations · 134 across the 31 of their papers we have counts for
7 papers · 1 filter
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 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 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 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…
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…
Kelly Betting Can Be Too Conservative
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this se…