Author

Chung-Han Hsieh

National Tsing Hua University

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#machine learning Preprint Sep 2026

Cost-Sensitive Online Window Size Selection for Portfolio Management

A two-level framework that constructs portfolios using candidate window sizes and dynamically aggregates them through online learning is proposed and finite-horizon cost-sensitive tracking-regret bounds are derived that account for turnover of the aggregated portfolio, with static regret as a special case.

Yi-Cheng Liu, Chung-Han Hsieh · 0 citations

Preprint Aug 2026

Certified High-Dimensional Wasserstein Robust Portfolio Optimization

A certified, scalable approximation for high-dimensional Wasserstein distributionally robust portfolio optimization is developed, obtaining a finite hyperplane--dual formulation over compact polyhedral supports under the one-norm ground metric and polyhedral portfolio constraints.

Chung-Han Hsieh, Rong Gan · 0 citations