Model-free portfolio theory : a rough path approach
Andrew L. Allan, Christa Cuchiero, Chong Liu, David J. Prömel
| Year of publication: |
2023
|
|---|---|
| Authors: | Allan, Andrew L. ; Cuchiero, Christa ; Liu, Chong ; Prömel, David Johannes |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 3, p. 709-765
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| Subject: | Cover's universal portfolio | log-optimal portfolio | model uncertainty | pathwise integration | rough path | stochastic portfolio theory | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12376 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329902