英文标题：
《On Drawdown-Modulated Feedback Control in Stock Trading》
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作者：
Chung-Han Hsieh and B. Ross Barmish
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最新提交年份：
2017
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英文摘要：
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal point of this paper is to address the drawdown issue in a stock trading context. Although our analysis can be carried out without reference to control theory, to make the work accessible to this community, we use the language of feedback systems. The takeoff point for the results to follow, which we call the Drawdown Modulation Lemma, characterizes any investment which guarantees that the percentage drawdown is no greater than a prespecified level with probability one. With the aid of this lemma, we introduce a new scheme which we call the drawdown-modulated feedback control. To illustrate the power of the theory, we consider a drawdown-constrained version of the well-known Kelly Optimization Problem which involves maximizing the expected logarithmic growth of the trader\'s account value. As the drawdown parameter dmax in our new formulation tends to one, we recover existing results as a special case. This new theory leads to an optimal investment strategy whose application is illustrated via an example with historical stock-price data.
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中文摘要：
从风险管理的角度来看，控制提款，即控制财富随时间从峰值下降到随后的低点，是一个非常令人担忧的问题。考虑到这一动机，本文的重点是在股票交易环境中解决提款问题。虽然我们的分析可以在不参考控制理论的情况下进行，但为了让社区能够接触到工作，我们使用反馈系统的语言。随后结果的起飞点，我们称之为水位下降调制引理，表征了任何保证水位下降百分比不大于概率为1的预先指定水平的投资。借助于这个引理，我们引入了一种新的方案，我们称之为下降调制反馈控制。为了说明该理论的威力，我们考虑了著名的Kelly优化问题的一个缩减约束版本，该问题涉及最大化交易者账户价值的预期对数增长。由于新公式中的下降参数dmax趋于1，我们将现有结果作为特例恢复。这一新理论提出了一种最优投资策略，并以历史股价数据为例说明了其应用。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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