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math.OC2025
Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
Chung-Han Hsieh, Rong Gan
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically inco…
q-fin.ST2025
Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
Chung-Han Hsieh, Jow-Ran Chang, Hui Hsiang Chen
A common belief is that leveraged ETFs (LETFs) suffer long-term performance decay due to \emph{volatility drag}. We show that this view is incomplete: LETF performance depends fund…