Publications

 My Publications

• • Google Scholar Link to My Articles

Journal Papers

1. C. H. Hsieh* and X. R. Yu, "A Flight-to-Safety Principle for Cost-Sensitive Distributionally Robust Log-Optimal Portfolio," IEEE Control Systems Letters, forthcoming, 2026. (arXiv); (DOI)

2. C. H. Hsieh* and X. Y. Wang, "Robust Algorithmic Trading in a Generalized Lattice Market," Journal of Economic Dynamics and Control, vol. 174, pp. 105083:1-105083:28, 2025. (arXiv); (DOI)

3. C. H. Hsieh*, "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," European Journal of Operational Research, vol. 313, no. 3, pp. 1129-1139, 2024. (arXiv); (DOI)

4. C. H. Hsieh*, "On Asymptotic Log-Optimal Portfolio Optimization," Automatica, vol. 151, pp. 110901:1-110901:11, 2023. (arXiv); (DOI)

5. Y. S. Wong and C. H. Hsieh*, "On Frequency-Based Optimal Portfolio with Transaction Costs," IEEE Control Systems Letters, vol. 7, pp. 3489-3494, 2023.  (arXiv); (DOI)

6. C. H. Hsieh*, "On Robustness of Double Linear Trading with Transaction Costs," IEEE Control Systems Letters, vol. 7, pp. 679-684, 2022. (The ACC2023 Program Committee also selected this paper for presentation at the Conference.) (arXiv); (DOI)

7. C. H. Hsieh*, "Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders," Automatica, vol. 136, pp. 11051:1-11051:7, 2022. (arXiv); (DOI)

8. C. H. Hsieh*, "On Robust Economic Control of Epidemics with Application to COVID-19," IEEE Access, vol. 9, pp. 167948-167958, 2021. (arXiv); (DOI)

9. C. H. Hsieh*, "Necessary and Sufficient Conditions for Frequency-Based Optimal Kelly Portfolio," IEEE Control Systems Letters, vol.5, no. 1, pp. 349-354, 2021. (The CDC2020 Program Committee also selected this paper for presentation at the Conference.) (arXiv); (DOI)

10. C. H. Hsieh*, B. R. Barmish, and J. A. Gubner, “On Positive Solutions of a Delay Equation Arising When Trading in Financial Markets,” IEEE Transactions on Automatic Control, AC-65, no. 7, pp. 3143-3149, 2020.  (arXiv); (DOI) 

Peer-Reviewed Conference Publications

1. C. L. Li and C. H. Hsieh*, "On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management," IFAC-PapersOnLine (Proc. IFAC World Congress), forthcoming, 2026. (arXiv); (DOI)

2. C. H. Hsieh* and Y. S. Wong, "On Risk-Sensitive Decision Making Under Uncertainty," Proceedings of the American Control Conference (ACC), Denver, Colorado, USA, pp. 1412-1417, 2025. (arXiv); (DOI)

3. B. R. Barmish, S. Formentin, C. H. Hsieh, A. V. Proskurnikov, S. Warnick, "A Jump Start to Stock Trading Research for the Uninitiated Control Scientist: A Tutorial," Proceedings of the IEEE Conference of Decision and Control (CDC), pp. 7441-7457, Milano, Italy, 2024. (Invited Tutorial Paper). (DOI)

4. X. Y. Wang and C. H. Hsieh*, "On Robustness of Double Linear Policy with Time-Varying Weights," Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 8515-8520, Marina Bay Sands, Singapore, 2023. (arXiv); (DOI)

5. C. H. Hsieh*, "On Data-Driven Drawdown Control with Restart Mechanism in Trading," IFAC-PapersOnline (Proc. IFAC World Congress), vol. 56, no. 2, pp. 9324-9329, 2023. (arXiv); (DOI)

6. P. T. Wang and C. H. Hsieh*, "On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach," IFAC-PapersOnline, vol. 55, no. 30, pp. 474-479, 2022. (Invited Paper); (arXiv). (DOI)

7. C. H. Hsieh*, "On Feedback Control in Kelly Betting: An Approximation Approach," Proceedings of the IEEE Conference on Control Technology and Applications (CCTA), pp. 903-908, Montreal, Canada, 2020. (arXiv); (DOI)

8. C. H. Hsieh*, B. R. Barmish and J. A. Gubner, “The Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency Versus Buy and Hold,”  Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 2580-2585, Nice, France, 2019. (arXiv); (DOI)

9. C. H. Hsieh*, J. A. Gubner, and B. R. Barmish, “Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework,” Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 5820-5825, Miami Beach, 2018. (arXiv); (DOI)

10. C. H. Hsieh*, B. R. Barmish, and J. A. Gubner, “At What Frequency Should Kelly Bettor Bet?” Proceedings of the American Control Conference (ACC), pp. 5485–5490, Milwaukee, 2018. (arXiv); (DOI)

11. C. H. Hsieh* and B. R. Barmish, “On Inefficiency of Markowitz-Style Gambling Strategies When Drawdown is Important,” Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 3075–3080, Melbourne, Australia, 2017. (arXiv); (DOI)

12. C. H. Hsieh* and B. R. Barmish, “On Drawdown-Modulated Stock Trading,” IFAC-PapersOnLine (Proc. IFAC World Congress), vol. 50, no.1, pp. 952–958, 2017. (arXiv); (DOI)

13. C. H. Hsieh*, B. R. Barmish and J. A. Gubner, “Kelly Betting Can Be Too Conservative,” Proceedings of the IEEE Conference on Decision and Control (CDC), pp. 3695–3707, Las Vegas, 2016. (arXiv); (DOI) 

14. C. H. Hsieh* and B. R. Barmish, “On Kelly Betting: Some Limitations,” Proceedings of the Allerton Conference on Communication, Control, and Computing (Allerton), pp. 165–172, Monticello, 2015. (arXiv); (DOI) 

15. C. H. Hsieh* and J. S. Liu, “Nonlinear Model Predictive Control for Wheeled Mobile Robot in Dynamic Environment,” Proceedings of the IEEE/ASME International Conference on Advanced Intelligent Mechatronics (AIM), pp. 363–368, Kaohsiung, Taiwan, 2012. (DOI)

16. A. C. Lee, J. L. Zhou, and C. H. Hsieh, “The Application of Robust Doubly Coprime Factorization Disturbance Observer on PWM Inverters in Grid-Connected Photovoltaic Systems,” International Technical Conference on Circuits/Systems, Computers, and Communications (ITC-CSCC), Sapporo, Japan, 2012. (ResearchGate)

17. A. C. Lee, J. J. Liou, and C. H. Hsieh, “The Application of Doubly Coprime Factorization Disturbance Observer on Boost Converter in Photovoltaic System,” International Technical Conference on Circuits/Systems, Computers, and Communications (ITC-CSCC), Sapporo, Japan, 2012. (ResearchGate)

Preprints

1. C. Hsieh*, "Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees," submitted for possible publication, 2026. (arXiv)

2. C. H. Hsieh* and R. Gan, "Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective," submitted for possible publication, 2025. (arXiv)

3. T. C. Hong and C. H. Hsieh*, "Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach," submitted for possible publication, 2026. (arXiv)

4. C. H. Hsieh*, J. R. Chang, H. H. Chen, "Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm," submitted for possible publication, 2025. (arXiv)

5. C. H. Hsieh*, "From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems," Automatica. R&R, 2025. (arXiv)

6. C. H. Hsieh* and X.-R. Yu, "A Flight-to-Safety Principle for Cost-Sensitive Distributionally Robust Log-Optimal Portfolio," IEEE Control Systems Letters. R&R, 2026. (arXiv)

7. C. H. Hsieh* and J.-L. Lu, "On Accelerating Large-Scale Robust Portfolio Optimization," R&R. 2024. (arXiv)

Working Papers

1. C. H. Hsieh, "On Drawdown Control Systems," working paper.

2. C. H. Hsieh, "On Positivity for A Class of Uncertain Linear Systems," working paper.

Master Thesis

C. H. Hsieh, Stability and Performance Analysis of Run-to-Run Unified Predictive Control for Semiconductor Manufacturing Process with Time Delay, Master Thesis, Department of Mechanical Engineering, National Chiao Tung University,  Taiwan, 2009. (Link)

Advisor: An-Chen Lee

Ph.D. Dissertation

C. H. Hsieh, Contributions to the Theory of Kelly Betting with Applications to Stock Trading: A Control-Theoretic Approach, Ph. D. Dissertation, Department of Electrical and Computer Engineering, University of Wisconsin-Madison, USA, 2019. ProQuest Link.

Dissertation Advisor: B. Ross Barmish (co-advised by John A. Gubner)

Committees: John A. Gubner, David P. Brown, James Primbs, and Andreas Seeger.

Co-authors:

• B. Ross Barmish (University of Wisconsin-Madison)

• John A. Gubner (University of Wisconsin-Madison)

• Xin-Yu Wang (Yuanta Financial Holdings)

• Chi-Lin Li (Fifth Third Bank)

• Pei-Ting Wang

• Yi-Shan Wong (Cathay Life Insurance) 

• Sean Warnick (Brigham Young University)

• Anton V. Proskurnikov (Polytechnic University of Turin)

• Simone Formentin (Politecnico di Milano)

• Jing-Sin Liu (Academia Sinica)

• An-Chen Lee (National Yang Ming Chiao Tung University)

• Jia-Long Zhou

• Jhan-Jhih Liou