Robust maximization of asymptotic growth
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Publication:453248
DOI10.1214/11-AAP802zbMath1262.60040arXiv1005.3454OpenAlexW3101301782MaRDI QIDQ453248
Constantinos Kardaras, Scott Robertson
Publication date: 19 September 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.3454
Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Martingales and classical analysis (60G46)
Related Items (6)
Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Robust maximization of asymptotic growth under covariance uncertainty ⋮ Robust asymptotic growth in stochastic portfolio theory under long‐only constraints ⋮ Model‐free portfolio theory: A rough path approach ⋮ Optimal arbitrage under model uncertainty ⋮ Ergodic robust maximization of asymptotic growth
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