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pro vyhledávání: '"Gubner, John A"'
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 class of stock price dynamics. In the literature, this is known as the Ro
Externí odkaz:
http://arxiv.org/abs/2011.09109
Publikováno v:
Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 2580-2585, Nice, France, 2019
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attention in the literature. Using ELG as the performance metric, we compare t
Externí odkaz:
http://arxiv.org/abs/1907.08771
Publikováno v:
IEEE Transactions on Automatic Control, AC-65, no. 7, pp. 3143-3149, 2020
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 state equation includes a nonnegative feedback gain $\alpha$ and a seq
Externí odkaz:
http://arxiv.org/abs/1901.02480
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 literature, our focal point here is the rebalancing frequency which we incl
Externí odkaz:
http://arxiv.org/abs/1807.05265
Publikováno v:
Proceedings of the IEEE American Control Conference (ACC), 2018
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 game is defined by a sequence of bets with independent and identically di
Externí odkaz:
http://arxiv.org/abs/1801.06737
Publikováno v:
Proceedings of the IEEE Conference on Decision and Control (CDC), pp .3695-3701, 2016
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 setting, there is a large body of literature which includes arguments th
Externí odkaz:
http://arxiv.org/abs/1710.01786
Publikováno v:
In Journal of the Franklin Institute March 2018 355(5):2932-2950
Autor:
Chang, Wei-Bin, Gubner, John A.
Publikováno v:
Journal of Applied Probability, 2000 Mar 01. 37(1), 252-260.
Externí odkaz:
https://www.jstor.org/stable/3215673
Publikováno v:
Advances in Applied Probability, 1989 Dec 01. 21(4), 842-860.
Externí odkaz:
https://www.jstor.org/stable/1427770