19 citations · 134 across the 31 of their papers we have counts for
4 papers · 1 filter
On Robustness of Double Linear Trading with Transaction Costs
Chung-Han Hsieh
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as…
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 Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach
Chung-Han Hsieh
A {log-optimal} portfolio is any portfolio that maximizes the expected logarithmic growth (ELG) of an investor's wealth. This maximization problem typically assumes that the inform…
From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
Chung-Han Hsieh
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital acros…