Model-Free Portfolio Theory and Its Functional Master Formula

DOI10.1137/16M1079828zbMath1416.91363arXiv1606.03325OpenAlexW2963876714WikidataQ129212974 ScholiaQ129212974MaRDI QIDQ4553804

Iryna Voloshchenko, Leo Speiser, Alexander Schied

Publication date: 31 October 2018

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

Full work available at URL: https://arxiv.org/abs/1606.03325

zbMATH Keywords

Föllmer integralportfolio analysismarket portfoliofunctional Itô formulapathwise Itô calculusentropy weightingfunctional master formula on path spaceportfolio-generating functionals

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (14)

Trading strategies generated by Lyapunov functions ⋮ Beating the market? A mathematical puzzle for market efficiency ⋮ Robust control in a rough environment ⋮ Model‐free portfolio theory: A rough path approach ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ Market-to-book ratio in stochastic portfolio theory ⋮ On the $p$th variation of a class of fractal functions ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ Leakage of rank-dependent functionally generated trading strategies ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ Trading strategies generated pathwise by functions of market weights ⋮ Time-Inconsistency with Rough Volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Constructing functions with prescribed pathwise quadratic variation
• The geometry of relative arbitrage
• On a class of generalized Takagi functions with linear pathwise quadratic variation
• Relative arbitrage in volatility-stabilized markets
• Optimization of relative arbitrage
• Diversity-weighted portfolios with negative parameter
• Change of variable formulas for non-anticipative functionals on path space
• On the diversity of equity markets
• Dynamic spanning without probabilities
• Diversity and relative arbitrage in equity markets
• Functional Itō calculus and stochastic integral representation of martingales
• Model-free CPPI
• Pathwise no-arbitrage in a class of delta hedging strategies
• Trading strategies generated by Lyapunov functions
• Pathwise integration with respect to paths of finite quadratic variation
• The numéraire portfolio in semimartingale financial models
• Introduction to stochastic calculus for finance. A new didactic approach.
• ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
• Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
• Robust Hedging of Double Touch Barrier Options
• Stochastic Portfolio Theory: an Overview
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models

This page was built for publication: Model-Free Portfolio Theory and Its Functional Master Formula