A trading system is said to be robust if it generates a positive return regardless of market
direction. To this end, a consistently positive expected trading gain is often used as a …

In this letter, we consider a discrete-time portfolio with m≥ 2 assets optimization problem
which includes the rebalancing frequency as an additional parameter in the maximization …

A log-optimal portfolio is any portfolio that maximizes the expected logarithmic growth (ELG)
of an investor's wealth, which typically assumes prior knowledge of the true return …

The main question we would like to address in this paper is as follows: Given a geometric
Brownian motion (GBM) as the underlying stock price model, what is the cumulative …

In this paper, we consider a simple discrete-time optimal betting problem using the
celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of …

Kelly Betting is a prescription for optimal resource allocation among a sequence of gambles
which are typically repeated in an independent and identically distributed manner. Within …

This book is an extension of my doctoral dissertation, focusing on techniques for analyzing
stability (dissipativity) and achieving stabilization of linear systems that are characterized by …

As of September 2021 the ongoing COVID-19 pandemic, caused by severe acute
respiratory syndrome coronavirus 2 (SARS-CoV-2), had already resulted in more than two …

This monograph is devoted to applications of the Kronecker decomposition approach for the
stability and stabilization of linear systems with nontrivial distributed delays through the …