Generalised Lyapunov Functions and Functionally Generated Trading Strategies

DOI10.1080/1350486X.2019.1584041zbMath1430.91089arXiv1801.07817OpenAlexW2974215173MaRDI QIDQ5207794

Johannes Ruf, Kangjianan Xie

Publication date: 13 January 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07817

zbMATH Keywords

stochastic portfolio theoryportfolio analysisS\&P 500additive generationmultiplicative generationportfolio generating function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Model‐free portfolio theory: A rough path approach ⋮ Market-to-book ratio in stochastic portfolio theory ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ Leakage of rank-dependent functionally generated trading strategies ⋮ Information Geometry in Portfolio Theory ⋮ Trading strategies generated pathwise by functions of market weights

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