Andrew L Allan,Christa Cuchiero,Chong Liu et al.
Andrew L Allan et al.
Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Föllmer integr...
Sascha Desmettre,Mogens Steffensen
Sascha Desmettre
We solve the problem of an investor who maximizes utility but faces random preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time-consistency issues arising from that formulation by applyin...
Friedrich Hubalek,Walter Schachermayer
Friedrich Hubalek
We consider the convergence of the solution of a discrete-time utility maximization problem for a sequence of binomial models to the Black-Scholes-Merton model for general utility functions. In previous work by D. Kreps and the second named...
Stephan Eckstein,Michael Kupper,Mathias Pohl
Stephan Eckstein
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a curre...
Convergence of optimal expected utility for a sequence of discrete-time markets [0.03%]
离散时间市场序列的最优期望效用的收敛性
David M Kreps,Walter Schachermayer
David M Kreps
We examine Kreps' conjecture that optimal expected utility in the classic Black-Scholes-Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies that "approach" the BSM economy in a natural sen...
Stefan Gerhold,Ismail Cetin Gülüm
Stefan Gerhold
Given a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a b...
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio [0.03%]
Cover的通用投资组合、随机投资组合理论及数值投资组合
Christa Cuchiero,Walter Schachermayer,Ting-Kam Leonard Wong
Christa Cuchiero
Cover's celebrated theorem states that the long-run yield of a properly chosen "universal" portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The "universality" refers to the fact that this...
Peter Friz,Stefan Gerhold,Arpad Pinter
Peter Friz
We consider call option prices close to expiry in diffusion models, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money and out-of-the-money regimes. First and higher orde...
Damir Filipović
Damir Filipović
Jean-Paul Décamps; Stéphane Villeneuve
Jean-Paul Décamps; Stéphane Villeneuve