Model-Free Portfolio Theory and Its Functional Master Formula (Q4553804)

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scientific article; zbMATH DE number 6969772
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English
Model-Free Portfolio Theory and Its Functional Master Formula
scientific article; zbMATH DE number 6969772

    Statements

    title
    Model-Free Portfolio Theory and Its Functional Master Formula (English)
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    author
    Alexander Schied
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    Leo Speiser
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    Iryna Voloshchenko
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    publication date
    31 October 2018
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    zbMATH Keywords
    pathwise Itô calculus
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    Föllmer integral
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    functional Itô formula
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    portfolio analysis
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    market portfolio
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    portfolio-generating functionals
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    functional master formula on path space
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    entropy weighting
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    cites work
    Q4531968
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    Q3911166
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    Q4408025
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    Q3966879
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    Model-free CPPI
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    Identifiers

    DOI
    10.1137/16M1079828
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    Mathematics Subject Classification ID
    91G10
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    60H30
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    60H05
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    zbMATH DE Number
    6969772
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    arXiv ID
    1606.03325
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    OpenAlex ID
    W2963876714
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    Wikidata QID
    Q129212974
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