19 citations · 134 across the 31 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
Chung-Han Hsieh, B. Ross Barmish
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is und…