19 citations · 92 across the 11 of their papers we have counts for
12 papers
On the Benefit of Nonlinear Control for Robust Logarithmic Growth: Coin Flipping Games as a Demonstration Case
Anton V. Proskurnikov, B. Ross Barmish
The takeoff point for this paper is the voluminous body of literature addressing recursive betting games with expected logarithmic growth of wealth being the performance criterion.…
On Simultaneous Long-Short Stock Trading Controllers with Cross-Coupling
Atul Deshpande, John A Gubner, B. Ross Barmish
The Simultaneous Long-Short(SLS) controller for trading a single stock is known to guarantee positive expected value of the resulting gain-loss function with respect to a large cla…
A Data-Driven Control-Theoretic Paradigm for Pandemic Mitigation with Application to Covid-19
Kevin Burke, B. Ross Barmish
In this paper, we introduce a new control-theoretic paradigm for mitigating the spread of a virus. To this end, our discrete-time controller, aims to reduce the number of new daily…
The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attentio…
On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We consider a discrete-time, linear state equation with delay which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The…
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…