In classical finance, when a stochastic investment outcome is characterized in terms of its mean and variance, it is implicitly understood that the underlying probability distribution is not heavily… (More)

Control of drawdown is one of the greatest concerns to both stock traders and portfolio managers. That is, one typically monitors “drops in wealth” over time from highs to subsequent lows, and… (More)

In a number of recent papers, a new line of research has been unfolding which is aimed at using classical linear feedback control in a model-free stock trading context. The salient feature of this… (More)

This paper provides an overview of our CDC tutorial session covering the basics of simulation and performance evaluation associated with stock trading via feedback control methods. The specific… (More)

This paper is part of a new line of research involving the use of a model-free controller to trade stock. Motivated by robustness considerations, neither modelling nor identification of the stock… (More)

The takeoff point in this paper is a random variable <inline-formula> <tex-math notation="LaTeX">${X}$ </tex-math></inline-formula> for which large positive values are desired. When its probability… (More)

2016 IEEE 55th Conference on Decision and Control…

2016

This paper is part of a new line of research involving the use of a model-free controller to trade stock. The main result is a discrete-time version of the so-called Robust Positive Expectation… (More)