Ergodic robust maximization of asymptotic growth
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Publication:2240869
DOI10.1214/20-AAP1634zbMath1479.60146arXiv1801.06425OpenAlexW3199952077MaRDI QIDQ2240869
Constantinos Kardaras, Scott Robertson
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.06425
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)
Related Items (3)
Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Robust asymptotic growth in stochastic portfolio theory under long‐only constraints ⋮ Model‐free portfolio theory: A rough path approach
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