19 citations · 134 across the 31 of their papers we have counts for
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math.OC2024
On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
Chung-Han Hsieh, Xiao-Rou Yu
This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a gene…
q-fin.CP2024
On Accelerating Large-Scale Robust Portfolio Optimization
Chung-Han Hsieh, Jie-Ling Lu
Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data c…
math.OC2024★ 1 cited
On Risk-Sensitive Decision Making Under Uncertainty
Chung-Han Hsieh, Yi-Shan Wong
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decisio…