Generalised Lyapunov Functions and Functionally Generated Trading Strategies
From MaRDI portal
Abstract: This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to formulate conditions on trading strategies to be strong arbitrage relative to the market over sufficiently large time horizons. A mollification argument and Komlos theorem yield a general class of potential arbitrage strategies. These theoretical results are complemented by several empirical examples using data from the S&P 500 stocks.
Recommendations
- Trading strategies generated by Lyapunov functions
- scientific article; zbMATH DE number 3925309
- Trading strategies generated pathwise by functions of market weights
- Generalizations of functionally generated portfolios with applications to statistical arbitrage
- Generalized Lyapunov functions and functional equations
- Lyapunov functionals, convex kernels, and strategy
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Generalized Lyapunov approach for functional differential inclusions
- A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Cites work
- Controlled diffusion processes. Translated by A. B. Aries
- Equity portfolios generated by functions of ranked market weights
- Generalizations of functionally generated portfolios with applications to statistical arbitrage
- Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance.
- scientific article; zbMATH DE number 3718305 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 1342042 (Why is no real title available?)
- scientific article; zbMATH DE number 1181255 (Why is no real title available?)
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3365044 (Why is no real title available?)
- Local times of ranked continuous semimartingales
- Model-free portfolio theory and its functional master formula
- Quantitative analysis in financial markets. Collected papers of the New York Universiity Mathematical Finance Seminar
- Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
- Trading strategies generated by Lyapunov functions
- Volatility and arbitrage
Cited in
(11)- Leakage of rank-dependent functionally generated trading strategies
- Trading strategies generated pathwise by functions of market weights
- Trading strategies generated by Lyapunov functions
- Market-to-book ratio in stochastic portfolio theory
- Generalizations of functionally generated portfolios with applications to statistical arbitrage
- Information geometry in portfolio theory
- Functional portfolio optimization in stochastic portfolio theory
- The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
- Model‐free portfolio theory: A rough path approach
- Quantifying dimensional change in stochastic portfolio theory
- Signature methods in stochastic portfolio theory
This page was built for publication: Generalised Lyapunov Functions and Functionally Generated Trading Strategies
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5207794)
