Trading strategies generated by Lyapunov functions

DOI10.1007/s00780-017-0332-8zbMath1414.91343arXiv1603.08245OpenAlexW2963969346WikidataQ59614078 ScholiaQ59614078MaRDI QIDQ2364535

Johannes Ruf, Ioannis Karatzas

Publication date: 21 July 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08245

zbMATH Keywords

concavitystochastic portfolio theorysemimartingale propertydeflatorsrelative arbitragefunctional generationregular and Lyapunov functionstime horizons

Mathematics Subject Classification ID

Lyapunov and storage functions (93D30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

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