Academic Work
"Those who sow with tears will reap with songs of joy."--Psalms 126:5
"Those who sow with tears will reap with songs of joy."--Psalms 126:5
Principal Investigator
NSTC114-2628-E-007-006- "On Data-Driven Distributional Robust Optimal Portfolio: A Wasserstein Metric Approach (2/3)," National Science and Technology Council (NSTC), Taiwan, August 1, 2025 - July 31, 2026. (Emerging Young Scholars Project).
NSTC113-2628-E-007-015- "On Data-Driven Distributional Robust Optimal Portfolio: A Wasserstein Metric Approach (1/3)," National Science and Technology Council (NSTC), Taiwan, August 1, 2024 - July 31, 2025. (Emerging Young Scholars Project).
NSTC112-2221-E-007-078- "On Time-Varying Double Linear Policy: Stochastic State Positivity and Optimization," National Science and Technology Council (NSTC), Taiwan, August 1, 2023 - July 31, 2024.
MOST111-2221-E-007-124- "On Risk-Averse Robust Portfolio Optimization: Theory and Empirical Studies," Ministry of Science and Technology (MOST), Taiwan, August 1, 2022 - July 31, 2023.
MOST110-2222-E-007-005- "On Frequency-Dependent Optimal Kelly Portfolio: A Control-Theoretic Point of View," Ministry of Science and Technology (MOST), Taiwan, August 1, 2021 - July 31, 2022.
Supervision of Research Project
NSTC112-2813-C-007-002-H "On Large-Scale Robust Portfolio Optimization via a Supporting Hyperplane Approximation Approach: Simulation and Empirical Studies" Undergraduate Research Project with Student Jie-Ling Lu (呂捷菱), National Science and Technology Council, Taiwan, July 01, 2023 - February 28, 2024.
MOST111-2813-C-007-021-H "On Risk-Averse Portfolio Optimization with Black-Litterman Approach" Undergraduate Research Project with Student Chi-Lin Li (李其霖), Ministry of Science and Technology (MOST), Taiwan, July 01, 2022 - February 28, 2023.
2023-2025
On Risk-Sensitive Decision Making Under Uncertainty, at the American Control Conference (ACC), Denver, Colorado, USA, July 2025.
On Optimization Problems Arising in Quantitative Portfolio Management, at the IEEE Conference on Decision and Control (CDC), Milan, Italy, December 2024.
On Robustness of Double Linear Policy with Time-Varying Weights at the IEEE Conference on Decision and Control (CDC), Singapore, December 2023.
On Data-Driven Drawdown Control with Restart Mechanism in Trading at the IFAC World Congress, Yokohama, Japan, July 2023.
On Robustness of Double Linear Policy with Transaction Costs at the American Control Conference (ACC), San Diego, CA, USA, June 2023.
2022 and before.
On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach, at the International Symposium on Mathematical Theory of Network and Systems (MTNS), Bayreuth, Germany, September 2022. (Invited Paper)
On Robust Positive Expected Trading for Prices with Unpredictable Jumps, at the International Conference of the Taiwan Finance Association, Hsinchu, Taiwan, June 2022.
On Asymptotic Log-Optimal Buy-and-Hold Strategy at the INFORMS Annual Meeting, October 2021.
Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio at the IEEE Conference on Decision and Control (CDC), Jeju Island, Republic of Korea, December 2020.
On Feedback Control in Kelly Betting: An Approximation Approach at the IEEE Conference on Control Technology and Applications (CCTA), Montreal, Canada, August 2020.
Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework at the IEEE Conference on Decision and Control (CDC), Miami, Florida, USA, December 2018.
At What Frequency Should Kelly Bettor Bet at the American Control Conference (ACC), Milwaukee, WI, USA, June 2018.
Kelly Betting Can be Too Conservative at the IEEE Conference on Decision and Control (CDC), Las Vegas, Nevada, USA, December 2016.
On Kelly Betting: Some Limitations at the Annual Allerton Conference on Communication, Control, and Computing (Allerton), Monticello, IL, USA, September 2015.
Nonlinear Model Predictive Control for Wheeled Mobile Robot with Applications to Dynamic Environment, at the IEEE/ASME International Conference on Advanced Intelligent Mechatronics (AIM), Kaohsiung, Taiwan, July 2012.
2024 & 2025
On Solving Distributionally Robust Optimal Portfolio, NCTS Probability Seminar, National Center for Theoretical Sciences (NCTS), Mathematical Division, Taiwan, August 2025.
On Solving Distributionally Robust Optimal Portfolio, Department of Information Management and Finance, National Yang Ming Chiao Tung University, Taiwan, March 2025.
A Primer of Quantitative Finance, Young Potential Camp, College of Technology Management, National Tsing Hua University, November 2024.
On Solving Robust Log-Optimal Portfolio, Department of Electrical Engineering Seminar, National Yang Ming Chiao Tung University, Taiwan, October 2024.
On Quantitative Finance: A Control Theorist Point of View, International MBA, National Tsing Hua University, November 2024.
Cross-disciplinary Learning: A Journey of Expanding Fields, College of Technology Management, National Tsing Hua University, September 2024.
A Primer of Quantitative Finance, Young Potential Camp, College of Technology Management, National Tsing Hua University, April 2024.
2023 and before.
On Quantitative Finance: A Control Theorist Point of View, International MBA, National Tsing Hua University, November 2023.
On Solving Robust Log-Optimal Portfolio, Institute of Electronics Engineering, National Tsing Hua University, November 2023.
On Solving Robust Log-Optimal Portfolio, Department of Economics, National Taiwan University, October 2023.
On Solving Robust Log-Optimal Portfolio, Department of Mathematics, National Tsing Hua University, October 2023.
On Frequency-Based Stock Trading, Department of Information Management and Finance, National Yang-Ming Chiao-Tung University, November 2022.
On Data-Driven Portfolio Optimization, Algorithmic Trading Workshop, July 2022.
On Frequency-Based Stock Trading, Department of Information and Finance Management, National Taipei University of Science and Technology, Taiwan, April 2022.
On Frequency-Based Stock Trading, Institute of Statistical Science, Academia Sinica, Taiwan, January 2022.
On Asymptotic Log-Optimal Buy-and-Hold Strategy, INFORMS Annual Meeting, Anaheim, CA, USA, October 2021.
On Frequency-Based Stock Trading, Department of Quantitative Finance, National Tsing Hua University, Taiwan, September 2021.
Can Control Theory Bring New Insights to Stock Trading and Vice Versa, College of Artificial Intelligence, National Chiao Tung University, Taiwan, November 2020.
Can Control Theory Bring New Insights to Stock Trading and Vice Versa, Department of Electrical Engineering Seminar, National Taiwan University, Taiwan, November 2020.
Modern Investment Science: A Control-Theoretic Point of View, Institute of Electrical and Control Engineering Seminar, National Chiao Tung University, Taiwan, October 2020.
Stock Trading Via Control-Theoretic Approach, Department of Quantitative Finance, National Tsing Hua University, Taiwan, September 2020.
Can Control Theory Bring New Insights to Stock Trading and Vice Versa, Institute of Electrical and Control Engineering, National Chiao Tung University, Taiwan, August 2020.
On Frequency-Based Stock Trading, Department of Finance and Cooperative Management, National Taipei University, Taiwan, June 2020.
On Control of Drawdown: Theory and Practice, Department of Financial Engineering, Providence University, Taiwan, April 2020.
Data-Driven Financial Systems and Control: Theory, Practice, and Perspectives, Department of Mechanical Engineering, National Cheng Kung University, Taiwan, March 2020.
Introduction to Modern Investment Science, Student Association of Taiwan, University of Wisconsin-Madison, USA, January 2017 (in Mandarin Chinese Version ).
Can Math Beat the Financial Market? Student Association of Taiwan, University of Wisconsin-Madison, USA, January 2016 (in Mandarin Chinese Version)
Control Theory and Life, Banqiao Church, Taiwan, 2012.
I defended my thesis titled Contributions to the Theory of Kelly Betting with Applications to Stock Trading: A Control-Theoretic Approach at the University of Wisconsin-Madison, USA, in December 2019.
I presented my preliminary research work about Contributions to the Theory of Kelly Betting with Applications to the Stock Market, Preliminary Exam, University of Wisconsin-Madison, USA, July 2018.
On Time-Varying Double Linear Policy: Stochastic State Positivity and Optimization, International Automatic Control Conference (CACS), Taoyuan, Taiwan, October 2024.
On Data-Driven Drawdown Control with Restart Mechanism in Trading, International Automatic Control Conference (CACS), Penghu, Taiwan, October 2023.
On Asymptotic Log-Optimal Portfolio Optimization, International Automatic Control Conference (CACS), Kaohsiung, Taiwan, November 2022.
Journal Reviewer:
Automatica
IEEE Transactions on Automatic Control
IEEE Transactions on Information Theory
IEEE Transactions on Systems, Man and Cybernetics: Systems
IEEE Control Systems Letters
IEEE Access
American Mathematical Monthly
Mathematical Reviews
Mathematical Finance
Mathematics and Financial Economics
Mathematical Methods of Operations Research
Review of Quantitative Finance and Accounting
Soft Computing
Complexity
Conference Reviewer:
IFAC World Congress, 2017-present
IEEE Conference on Decision and Control (CDC), 2016-present,
IEEE Conference on Control Technology and Applications (CCTA), 2020
American Control Conference (ACC), 2018-present
International Symposium on Mathematical Theory and Networks and Systems (MTNS), 2022.
Conference Session Chair/Co-Chair:
IEEE Conference on Decision and Control (CDC), Chair of Uncertain Systems, 2023.
IFAC World Congress, Chair of Data-Driven Methods in Social Systems, 2023.
Project Reviewer
Planning Committee for the Control and Decision Theory Division, National Science and Technology Council, Taiwan, 2024.
National Science and Technology Council, Taiwan. 2024-present.
Member
SIAM (Group in Control & Systems Theory and Group in Financial Mathematics and Engineering)
Ph.D. Thesis Committees
Min-Yen Lee, Department of Electrical Engineering, National Tsing Hua University, Taiwan, March 2022.
Master Thesis Committees
I-Chih Li, Institute of Networking and Multimedia, National Taiwan Unversity, Taiwan, July 2025.
Xiao-Rou Yu, Department of Quantitative Finance, National Tsing Hua University, Taiwan, September 2024.
Xin-Yu Wang, Department of Quantitative Finance, National Tsing Hua University, Taiwan, July 2023.
Ming-Yang Wang, Department of Electrical Engineering, National Tsing Hua University, Taiwan, July 2023.
Yu-Ping Zhan, Department of Electrical Engineering, National Tsing Hua University, Taiwan, July 2023.
Ying-Shuo Ma, Department of Electrical Engineering, National Tsing Hua University, Taiwan, November 2021.
Po-Hsun Wu, Department of Electrical Engineering, National Tsing Hua University, Taiwan, November 2022.
Chung-Han Hsieh's Blog (A math-oriented blog written in Mandarin Chinese)