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Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
Itkin, David; Larsson, Martin - In: Mathematical Finance 32 (2021) 1, pp. 114-171
Persistent link: https://www.econbiz.de/10012636239
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Relative arbitrage : Sharp time horizons and motion by curvature
Larsson, Martin; Ruf, Johannes - In: Mathematical Finance 31 (2021) 3, pp. 885-906
Persistent link: https://www.econbiz.de/10012538282
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Unspanned stochastic volatility in the multifactor CIR model
Filipović, Damir; Larsson, Martin; Statti, Francesco - In: Mathematical Finance 29 (2018) 3, pp. 827-836
Persistent link: https://www.econbiz.de/10012095161
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On the relation between linearity-generating processes and linear-rational models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: Mathematical Finance 29 (2018) 3, pp. 804-826
Persistent link: https://www.econbiz.de/10012095166