Random concave functions

DOI10.1214/21-AAP1697zbMath1498.60050arXiv1910.13668OpenAlexW2982563266MaRDI QIDQ2134284

Peter H. Baxendale, Ting-Kam Leonard Wong

Publication date: 6 May 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.13668

zbMATH Keywords

extreme value theoryPoisson point processconcave functionoptimal transportstochastic portfolio theoryuniversal portfolio

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Geometric probability and stochastic geometry (60D05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Functional Portfolio Optimization in Stochastic Portfolio Theory

Uses Software

• LogConcDEAD

Cites Work

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