Optimization of relative arbitrage

DOI10.1007/s10436-015-0261-5zbMath1369.91168arXiv1407.8300OpenAlexW2046059715MaRDI QIDQ902176

Ting-Kam Leonard Wong

Publication date: 7 January 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.8300

zbMATH Keywords

portfolio managementstochastic portfolio theoryrelative arbitragefunctionally generated portfolioshape-constrained optimization

Mathematics Subject Classification ID

Density estimation (62G07) Portfolio theory (91G10)

Related Items

Random concave functions, The geometry of relative arbitrage, Model-Free Portfolio Theory and Its Functional Master Formula, Pseudo-Riemannian geometry encodes information geometry in optimal transport, Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management, Functional Portfolio Optimization in Stochastic Portfolio Theory, On the difference between entropic cost and the optimal transport cost, Diversity-weighted portfolios with negative parameter, Multiplicative Schrödinger problem and the Dirichlet transport, Logarithmic divergences from optimal transport and Rényi geometry, Exponentially concave functions and a new information geometry, Information Geometry in Portfolio Theory

Uses Software

• LogConcDEAD
• logcondens

Cites Work

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