Trading strategies generated pathwise by functions of market weights

DOI10.1007/s00780-019-00414-2zbMath1433.91164arXiv1809.10123OpenAlexW2994645282WikidataQ126556055 ScholiaQ126556055MaRDI QIDQ2308179

Donghan Kim, Ioannis Karatzas

Publication date: 25 March 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.10123

zbMATH Keywords

trading strategiesstochastic portfolio theoryfunctional generationpathwise Itô and Tanaka formulasstrong relative arbitrage

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Portfolio theory (91G10) Financial markets (91G15)

Related Items

Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Model‐free portfolio theory: A rough path approach ⋮ A càdlàg rough path foundation for robust finance ⋮ Market-to-book ratio in stochastic portfolio theory ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Weak approximations for Wiener functionals
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• A weak version of path-dependent functional Itô calculus
• Pathwise stochastic calculus with local times
• Volatility and arbitrage
• Functional Itō calculus and stochastic integral representation of martingales
• Weak differentiability of Wiener functionals and occupation times
• Trading strategies generated by Lyapunov functions
• On viscosity solutions of path dependent PDEs
• Introduction to stochastic calculus for finance. A new didactic approach.
• Local times for typical price paths and pathwise Tanaka formulas
• Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
• Stochastic Portfolio Theory: an Overview
• Model-Free Portfolio Theory and Its Functional Master Formula
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• Generalised Lyapunov Functions and Functionally Generated Trading Strategies