19 citations · 134 across the 31 of their papers we have counts for
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q-fin.PM2018★ 6 cited
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…
math.OC2018★ 11 cited
At What Frequency Should the Kelly Bettor Bet?
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The gam…