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Trading strategies generated by Lyapunov functions

Citations

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Cited by:

  1. David Itkin & Benedikt Koch & Martin Larsson & Josef Teichmann, 2022. "Ergodic robust maximization of asymptotic growth under stochastic volatility," Papers 2211.15628, arXiv.org.
  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. Johannes Ruf & Kangjianan Xie, 2019. "The impact of proportional transaction costs on systematically generated portfolios," Papers 1904.08925, arXiv.org.
  4. Michael Heinrich Baumann, 2022. "Beating the market? A mathematical puzzle for market efficiency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 279-325, June.
  5. Patrick Mijatovic, 2021. "Beating the Market with Generalized Generating Portfolios," Papers 2101.07084, arXiv.org.
  6. Ioannis Karatzas & Donghan Kim, 2018. "Trading Strategies Generated Pathwise by Functions of Market Weights," Papers 1809.10123, arXiv.org, revised Mar 2019.
  7. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Mar 2024.
  8. Johannes Ruf & Kangjianan Xie, 2018. "Generalised Lyapunov Functions and Functionally Generated Trading Strategies," Papers 1801.07817, arXiv.org.
  9. 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.
  10. Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang, 2018. "Dynamics of observables in rank-based models and performance of functionally generated portfolios," Papers 1802.03593, arXiv.org.
  11. 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.
  12. David Itkin & Martin Larsson, 2020. "Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints," Papers 2009.08533, arXiv.org, revised Aug 2021.
  13. Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
  14. 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.
  15. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2023. "Quantifying dimensional change in stochastic portfolio theory," Papers 2303.00858, arXiv.org, revised Apr 2023.
  16. 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.
  17. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
  18. David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
  19. Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
  20. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
  21. Ruf, Johannes & Xie, Kangjianan, 2020. "Impact of proportional transaction costs on systematically generated portfolios," LSE Research Online Documents on Economics 104696, London School of Economics and Political Science, LSE Library.
  22. Donghan Kim, 2019. "Open Markets," Papers 1912.13110, arXiv.org.
  23. Donghan Kim, 2023. "Market-to-book ratio in stochastic portfolio theory," Finance and Stochastics, Springer, vol. 27(2), pages 401-434, April.
  24. Ricardo T. Fernholz & Christoffer Koch, 2018. "The Rank Effect," Papers 1812.06000, arXiv.org.
  25. Ricardo T. Fernholz & Caleb Stroup, 2018. "Asset Price Distributions and Efficient Markets," Papers 1810.12840, arXiv.org.
  26. 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.
  27. Adrian Banner & Robert Fernholz & Vassilios Papathanakos & Johannes Ruf & David Schofield, 2018. "Diversification, Volatility, and Surprising Alpha," Papers 1809.03769, arXiv.org.
  28. Martin Larsson & Johannes Ruf, 2021. "Relative arbitrage: Sharp time horizons and motion by curvature," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 885-906, July.
  29. David Itkin & Martin Larsson, 2022. "Robust asymptotic growth in stochastic portfolio theory under long‐only constraints," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 114-171, January.
  30. Erhan Bayraktar & Donghan Kim & Abhishek Tilva, 2022. "Arbitrage theory in a market of stochastic dimension," Papers 2212.04623, arXiv.org, revised Jun 2023.
  31. 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.
  32. Ioannis Karatzas & Donghan Kim, 2021. "Open markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1111-1161, October.
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