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DOI: 10.1111/mafi.12425
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- Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2023. "Quantifying dimensional change in stochastic portfolio theory," Papers 2303.00858, arXiv.org, revised Apr 2023.
References listed on IDEAS
- Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
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- Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
- Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2024.
"Arbitrage theory in a market of stochastic dimension,"
Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 847-895, July.
- Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2022. "Arbitrage theory in a market of stochastic dimension," Papers 2212.04623, arXiv.org, revised Jun 2023.
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- Patrick Mijatovic, 2021. "Beating the Market with Generalized Generating Portfolios," Papers 2101.07084, arXiv.org.
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- 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.
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- Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
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