Optimization of relative arbitrage

DOI10.1007/s10436-015-0261-5zbMath1369.91168arXiv1407.8300OpenAlexW2046059715MaRDI QIDQ902176

Ting-Kam Leonard Wong

Publication date: 7 January 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.8300

zbMATH Keywords

portfolio managementstochastic portfolio theoryrelative arbitragefunctionally generated portfolioshape-constrained optimization

Mathematics Subject Classification ID

Density estimation (62G07) Portfolio theory (91G10)

Related Items (12)

Random concave functions ⋮ The geometry of relative arbitrage ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Pseudo-Riemannian geometry encodes information geometry in optimal transport ⋮ Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management ⋮ Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ On the difference between entropic cost and the optimal transport cost ⋮ Diversity-weighted portfolios with negative parameter ⋮ Multiplicative Schrödinger problem and the Dirichlet transport ⋮ Logarithmic divergences from optimal transport and Rényi geometry ⋮ Exponentially concave functions and a new information geometry ⋮ Information Geometry in Portfolio Theory

Uses Software

• LogConcDEAD
• logcondens

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The geometry of relative arbitrage
• Maximum likelihood estimation of a log-concave density and its distribution function: basic properties and uniform consistency
• Quasi-concave density estimation
• Nonparametric estimation of multivariate convex-transformed densities
• Optimal arbitrage under model uncertainty
• Short-term relative arbitrage in volatility-stabilized markets
• On optimal arbitrage
• A note on the measurability of convex sets
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• Theoretical properties of the log-concave maximum likelihood estimator of a multidimensional density
• Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
• OSCILLATION OF SOLUTIONS OF LINEAR DIFFERENTIAL EQUATIONS
• Stochastic Portfolio Theory: an Overview
• Variational Analysis
• Maximum Likelihood Estimation of a Multi-Dimensional Log-Concave Density
• Schwarzian derivative criteria for valence of analytic and harmonic mappings
• Prediction, Learning, and Games

This page was built for publication: Optimization of relative arbitrage