19 citations · 134 across the 31 of their papers we have counts for
5 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 Robustness of Double Linear Policy with Time-Varying Weights
Xin-Yu Wang, Chung-Han Hsieh
In this paper, we extend the existing double linear policy by incorporating time-varying weights instead of constant weights and study a certain robustness property, called robust…
On Data-Driven Drawdown Control with Restart Mechanism in Trading
Chung-Han Hsieh
This paper extends the existing drawdown modulation control policy to include a novel restart mechanism for trading. It is known that the drawdown modulation policy guarantees the…
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…