IDEAS home Printed from https://ideas.repec.org/f/pst445.html
   My authors  Follow this author

Winslow Strong

Personal Details

First Name:Winslow
Middle Name:
Last Name:Strong
Suffix:
RePEc Short-ID:pst445
[This author has chosen not to make the email address public]
http://www.winslowstrong.com

Affiliation

Financial and Insurance Mathematics
Eidgenössische Technische Hochschule Zürich (ETHZ)

Zürich, Switzerland
http://www.math.ethz.ch/finance/
RePEc:edi:fiethch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
  2. Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.
  3. Winslow Strong & Jean-Pierre Fouque, 2010. "Diversity and Arbitrage in a Regulatory Breakup Model," Papers 1003.5650, arXiv.org, revised Dec 2010.

Articles

  1. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.

    Cited by:

    1. Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
    2. 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.
    3. Robert Fernholz, 2016. "A new decomposition of portfolio return," Papers 1606.05877, arXiv.org.
    4. Patrick Mijatovic, 2021. "Beating the Market with Generalized Generating Portfolios," Papers 2101.07084, arXiv.org.
    5. Ioannis Karatzas & Donghan Kim, 2018. "Trading Strategies Generated Pathwise by Functions of Market Weights," Papers 1809.10123, arXiv.org, revised Mar 2019.
    6. Johannes Ruf & Kangjianan Xie, 2018. "Generalised Lyapunov Functions and Functionally Generated Trading Strategies," Papers 1801.07817, arXiv.org.
    7. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
    8. 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.
    9. 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.
    10. Yves-Laurent Kom Samo & Alexander Vervuurt, 2016. "Stochastic Portfolio Theory: A Machine Learning Perspective," Papers 1605.02654, arXiv.org.
    11. Ting-Kam Wong, 2015. "Optimization of relative arbitrage," Annals of Finance, Springer, vol. 11(3), pages 345-382, November.
    12. Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
    13. Soumik Pal & Ting-Kam Leonard Wong, 2016. "Exponentially concave functions and a new information geometry," Papers 1605.05819, arXiv.org, revised May 2017.
    14. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
    15. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
    16. 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.
    17. Qingyin Ge & Yunuo Ma & Yuezhi Liao & Rongyu Li & Tianle Zhu, 2020. "Risk Management and Return Prediction," Papers 2007.01194, arXiv.org.

  2. Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.

    Cited by:

    1. Andrew L. Allan & Chong Liu & David J. Promel, 2021. "A C\`adl\`ag Rough Path Foundation for Robust Finance," Papers 2109.04225, arXiv.org, revised May 2023.

  3. Winslow Strong & Jean-Pierre Fouque, 2010. "Diversity and Arbitrage in a Regulatory Breakup Model," Papers 1003.5650, arXiv.org, revised Dec 2010.

    Cited by:

    1. Tomoyuki Ichiba & Michael Ludkovski & Andrey Sarantsev, 2019. "Dynamic contagion in a banking system with births and defaults," Annals of Finance, Springer, vol. 15(4), pages 489-538, December.
    2. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
    3. Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.
    4. 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.
    5. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
    6. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
    7. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
    8. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.

Articles

  1. 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.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-REG: Regulation (1) 2010-04-11

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Winslow Strong should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.