Model-free portfolio theory: A rough path approach

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Mathematical Finance - 2023 - Allan - Model‐free portfolio theory A rough path approach.pdf - Published
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DOI:	https://doi.org/10.1111/mafi.12376
URL:	https://onlinelibrary.wiley.com/doi/10.1111/mafi.1...
URN:	urn:nbn:de:bsz:180-madoc-647841
Document Type:	Article
Year of publication:	2023
The title of a journal, publication series:	Mathematical Finance
Volume:	33
Issue number:	3
Page range:	709-765
Place of publication:	Malden, Mass. [u.a.]
Publishing house:	Wiley-Blackwell
ISSN:	0960-1627
Publication language:	English
Institution:	School of Business Informatics and Mathematics > Mathematical Finance (Prömel 2019-)
Pre-existing license:	Creative Commons Attribution 4.0 International (CC BY 4.0)
Subject:	004 Computer science, internet 330 Economics
Keywords (English):	cover’s universal portfolio , log-optimal portfolio , model uncertainty , pathwise integration , rough path , stochastic portfolio theory

	Dieser Eintrag ist Teil der Universitätsbibliographie.
	Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

BASE: Allan, Andrew L. ; Cuchiero, Christa ; Liu, Chong ; Prömel, David J.

Google Scholar: Allan, Andrew L. ; Cuchiero, Christa ; Liu, Chong ; Prömel, David J.

ORCID: Allan, Andrew L. ; Cuchiero, Christa ; Liu, Chong ; Prömel, David J.

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