Model‐free portfolio theory: A rough path approach
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Publication:6146674
DOI10.1111/mafi.12376arXiv2109.01843OpenAlexW3196773291MaRDI QIDQ6146674
Andrew L. Allan, Christa Cuchiero, Chong Liu, David J. Prömel
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.01843
model uncertaintystochastic portfolio theorylog-optimal portfoliorough pathpathwise integrationCover's universal portfolio
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