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Portfolio Generating Functions

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar

Citations

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Cited by:

  1. E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121, arXiv.org.
  2. Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
  3. Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
  4. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
  5. Robert Fernholz, 2015. "An example of short-term relative arbitrage," Papers 1510.02292, arXiv.org.
  6. Karatzas, Ioannis & Ruf, Johannes, 2017. "Trading strategies generated by Lyapunov functions," LSE Research Online Documents on Economics 69177, London School of Economics and Political Science, LSE Library.
  7. Ioannis Karatzas & Donghan Kim, 2018. "Trading Strategies Generated Pathwise by Functions of Market Weights," Papers 1809.10123, arXiv.org, revised Mar 2019.
  8. Johannes Ruf & Kangjianan Xie, 2018. "Generalised Lyapunov Functions and Functionally Generated Trading Strategies," Papers 1801.07817, arXiv.org.
  9. Winslow Strong & Jean-Pierre Fouque, 2011. "Diversity and arbitrage in a regulatory breakup model," Annals of Finance, Springer, vol. 7(3), pages 349-374, August.
  10. Steven Campbell & Ting-Kam Leonard Wong, 2021. "Functional portfolio optimization in stochastic portfolio theory," Papers 2103.10925, arXiv.org, revised Oct 2021.
  11. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
  12. Ricardo T. Fernholz & Robert Fernholz, 2022. "Permutation-weighted portfolios and the efficiency of commodity futures markets," Annals of Finance, Springer, vol. 18(1), pages 81-108, March.
  13. Ioannis Karatzas & Donghan Kim, 2020. "Trading strategies generated pathwise by functions of market weights," Finance and Stochastics, Springer, vol. 24(2), pages 423-463, April.
  14. Winslow Strong, 2014. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, vol. 18(3), pages 487-514, July.
  15. Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
  16. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
  17. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2023. "Quantifying dimensional change in stochastic portfolio theory," Papers 2303.00858, arXiv.org, revised Apr 2023.
  18. Ricardo T. Fernholz & Robert Fernholz, 2023. "Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing," Papers 2308.13717, arXiv.org, revised Jan 2024.
  19. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
  20. Ting-Kam Wong, 2015. "Optimization of relative arbitrage," Annals of Finance, Springer, vol. 11(3), pages 345-382, November.
  21. Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
  22. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
  23. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
  24. Donghan Kim, 2019. "Open Markets," Papers 1912.13110, arXiv.org.
  25. Donghan Kim, 2023. "Market-to-book ratio in stochastic portfolio theory," Finance and Stochastics, Springer, vol. 27(2), pages 401-434, April.
  26. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
  27. Soumik Pal & Ting-Kam Leonard Wong, 2016. "Exponentially concave functions and a new information geometry," Papers 1605.05819, arXiv.org, revised May 2017.
  28. Kangjianan Xie, 2019. "Leakage of rank-dependent functionally generated trading strategies," Papers 1912.04221, arXiv.org.
  29. Fernholz, E. Robert & Karatzas, Ioannis & Ruf, Johannes, 2018. "Volatility and arbitrage," LSE Research Online Documents on Economics 75234, London School of Economics and Political Science, LSE Library.
  30. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
  31. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  32. Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
  33. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
  34. Daniel Polakow & Tim Gebbie, 2006. "How many independent bets are there?," Papers physics/0601166, arXiv.org, revised Jan 2008.
  35. Ricardo T. Fernholz & Robert Fernholz, 2020. "Permutation-Weighted Portfolios and the Efficiency of Commodity Futures Markets," Papers 2001.06914, arXiv.org, revised Dec 2020.
  36. Ruf, Johannes & Xie, Kangjianan, 2019. "Generalised Lyapunov functions and functionally generated trading strategies," LSE Research Online Documents on Economics 102424, London School of Economics and Political Science, LSE Library.
  37. Ioannis Karatzas & Donghan Kim, 2021. "Open markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1111-1161, October.
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