Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 773, doi. 10.1111/mafi.12201
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2019 AND VI 29 AND IP 3
Results: 11
1
2
Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 898, doi. 10.1111/mafi.12200
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- Publication type:
- Article
3
The robust pricing–hedging duality for American options in discrete time financial markets.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 861, doi. 10.1111/mafi.12199
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- Publication type:
- Article
4
On the relation between linearity‐generating processes and linear‐rational models.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 804, doi. 10.1111/mafi.12198
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- Publication type:
- Article
5
Superreplication with proportional transaction cost under model uncertainty.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 837, doi. 10.1111/mafi.12197
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- Publication type:
- Article
6
The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 928, doi. 10.1111/mafi.12196
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- Publication type:
- Article
7
Optimal portfolio under fractional stochastic environment.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 697, doi. 10.1111/mafi.12195
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- Publication type:
- Article
8
Trading algorithms with learning in latent alpha models.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 735, doi. 10.1111/mafi.12194
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- Publication type:
- Article
9
Unspanned stochastic volatility in the multifactor CIR model.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 827, doi. 10.1111/mafi.12193
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- Publication type:
- Article
10
Value‐at‐Risk bounds with two‐sided dependence information.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 967, doi. 10.1111/mafi.12192
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- Publication type:
- Article
11
Issue Information.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 3, p. 695, doi. 10.1111/mafi.12190
- Publication type:
- Article