Model‐free portfolio theory: A rough path approach
Model‐free portfolio theory: A rough path approach
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Publisher
England: Blackwell Publishing Ltd
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Language
English
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Publisher
England: Blackwell Publishing Ltd
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Scope and Contents
Contents
Based on a rough path foundation, we develop a model‐free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model‐free approaches based on Föllmer integration. Without the assumption of any underlying probabilistic model, we prove a pathwise formula for the relati...
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Full title
Model‐free portfolio theory: A rough path approach
Authors, Artists and Contributors
Author / Creator
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TN_cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_10946658
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_10946658
Other Identifiers
ISSN
0960-1627,1467-9965
E-ISSN
1467-9965
DOI
10.1111/mafi.12376
