On Feedback Control in Kelly Betting: An Approximation Approach

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 wealth. While the classical Kelly betting problem can be solved via standard concave programming technique, an alternative but attractive approach is to invoke a Taylor-based approximation, which recasts the problem into quadratic programming and obtain the closed-form approximate solution. The focal point of this paper is to fill some voids in the existing results by providing some interesting properties when such an approximate solution is used. Specifically, the best achievable betting performance, positivity of expected cumulative gain or loss and its associated variance, expected growth property, variance of logarithmic growth, and results related to the so-called survivability (no bankruptcy) are provided.Comment: To appear in the proceedings of the 2020 IEEE Conference on Control Technology and Applications (CCTA

Tunable Fano-Kondo resonance in side-coupled double quantum dot system

We study the interference between the Fano and Kondo effects in a side-coupled double-quantum- dot system where one of the quantum dots couples to conduction electron bath while the other dot only side-couples to the first dot via antiferromagnetic (AF) spin exchange coupling. We apply both the perturbative renormalization group (RG) and numerical renormalization group (NRG) approaches to study the effect of AF coupling on the Fano lineshape in the conduction leads. With particle-hole symmetry, the AF exchange coupling competes with the Kondo effect and leads to a local spin-singlet ground state for arbitrary small coupling, so called "two-stage Kondo effect". As a result, via NRG we find the spectral properties of the Fano lineshape in the tunneling density of states (TDOS) of conduction electron leads shows double dip-peak features at the energy scale around the Kondo temperature and the one much below it, corresponding to the two-stage Kondo effect; it also shows an universal scaling behavior at very low energies. We find the qualitative agreement between the NRG and the perturbative RG approach. Relevance of our work to the experiments is discussed.Comment: 7 pages, 7 figure

Properties of Microlensing Central Perturbations by Planets in Binary Stellar Systems under the Strong Finite-Source Effect

We investigate high-magnification events caused by planets in wide binary stellar systems under the strong finite-source effect, where the planet orbits one of the companions. From this, we find that the pattern of central perturbations in triple lens systems commonly appears as a combination of individual characteristic patterns of planetary and binary lens systems in a certain range where the sizes of the caustics induced by a planet and a binary companion are comparable, and the range changes with the mass ratio of the planet to the planet-hosting star. Specially, we find that because of this central perturbation pattern, the characteristic feature of high-magnification events caused by the triple lens systems appears in the residual from the single-lensing light curve despite the strong finite-source effect, and it is discriminated from those of the planetary and binary lensing events and thus can be used for the identification of the existence of both planet and binary companion. This characteristic feature is a simultaneous appearance of two features. First, double negative-spike and single positive-spike features caused by the binary companion appear together in the residual, where the double negative spike occurs at both moments when the source enters and exits the caustic center and the single positive spike occurs at the moment just before the source enters into or just after the source exits from the caustic center. Second, the magnification excess before or after the single positive-spike feature is positive due to the planet, and the positive excess has a remarkable increasing or decreasing pattern depending on the source trajectory.Comment: 12 pages, 3 figures, accepted for publication in Ap

On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important

The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to conservative investors, we dispense with the classical variance as the risk metric and work with drawdown and mean return as the risk-reward pair. In this setting, the main results in this paper address the so-called "efficiency" of linear time-invariant (LTI) investment feedback strategies which correspond to Markowitz-style schemes in the finance literature. Our analysis begins with the following principle which is widely used in finance: Given two investment opportunities, if one of them has higher risk and lower return, it will be deemed to be inefficient or strictly dominated and generally rejected in the marketplace. In this framework, with risk-reward pair as described above, our main result is that classical Markowitz-style strategies are inefficient. To establish this, we use a new investment strategy which involves a time-varying linear feedback block K(k), called the drawdown modulator. Using this instead of the original LTI feedback block K in the Markowitz scheme, the desired domination is obtained. As a bonus, it is also seen that the modulator assures a worst-case level of drawdown protection with probability one.Comment: This paper has been published in Proceedings of 56th IEEE Conference on Decision and Control (CDC) 201