Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage

DOI10.1137/130907458zbMath1308.91151arXiv1212.1877OpenAlexW1964682206MaRDI QIDQ2940768

Winslow Strong

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.1877

zbMATH Keywords

master equationportfolio theorystochastic portfolio theorystatistical arbitragefunctionally generated portfolioportfolio immunizationmirror portfolio

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (11)

The geometry of relative arbitrage ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Model‐free portfolio theory: A rough path approach ⋮ Optimization of relative arbitrage ⋮ A càdlàg rough path foundation for robust finance ⋮ Market-to-book ratio in stochastic portfolio theory ⋮ Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension ⋮ Exponentially concave functions and a new information geometry ⋮ Leakage of rank-dependent functionally generated trading strategies ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies ⋮ Trading strategies generated pathwise by functions of market weights

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