15 citations · 43 across the 5 of their papers we have counts for
6 papers
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…
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…
At What Frequency Should the Kelly Bettor Bet?
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The gam…
Kelly Betting Can Be Too Conservative
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this se…