On data-driven log-optimal portfolio: A sliding window approach
PT Wang, CH Hsieh - IFAC-PapersOnLine, 2022 - Elsevier
In this paper, we propose an online data-driven sliding window approach to solve a log-
optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a …
optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a …
Universal risk budgeting
A Garivaltis - Annals of Financial Economics, 2021 - World Scientific
I juxtapose Cover's vaunted universal portfolio selection algorithm ([Cover, TM (1991).
Universal portfolios. Mathematical Finance, 1, 1–29]) with the modern representation of a …
Universal portfolios. Mathematical Finance, 1, 1–29]) with the modern representation of a …
Rational pricing of leveraged ETF expense ratios
A Garivaltis - Annals of Finance, 2022 - Springer
This paper studies the general relationship between the gearing ratio of a Leveraged ETF
and its corresponding expense ratio, viz., the investment management fees that are charged …
and its corresponding expense ratio, viz., the investment management fees that are charged …
[HTML][HTML] Nash bargaining over margin loans to kelly gamblers
A Garivaltis - Risks, 2019 - mdpi.com
I derive practical formulas for optimal arrangements between sophisticated stock market
investors (continuous-time Kelly gamblers or, more generally, CRRA investors) and the …
investors (continuous-time Kelly gamblers or, more generally, CRRA investors) and the …