The geometry of relative arbitrage

DOI10.1007/s11579-015-0159-zzbMath1404.91249arXiv1402.3720OpenAlexW1797562726MaRDI QIDQ300840

Soumik Pal, Ting-Kam Leonard Wong

Publication date: 29 June 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.3720

zbMATH Keywords

optimal transportstochastic portfolio theoryfunctionally generated portfoliosmodel-free financerebalancing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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