Outputs (2)

A càdlàg rough path foundation for robust finance (2023)
Journal Article
Allan, A. L., Liu, C., & Prömel, D. J. (2024). A càdlàg rough path foundation for robust finance. Finance and Stochastics, 28(1), 215-257. https://doi.org/10.1007/s00780-023-00522-0

Using rough path theory, we provide a pathwise foundation for stochastic Itô integration which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end, we... Read More about A càdlàg rough path foundation for robust finance.

Model‐free portfolio theory: A rough path approach (2023)
Journal Article
Allan, A. L., Cuchiero, C., Liu, C., & Prömel, D. J. (2023). Model‐free portfolio theory: A rough path approach. Mathematical Finance, 33(3), 709-765. https://doi.org/10.1111/mafi.12376

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 integration. With... Read More about Model‐free portfolio theory: A rough path approach.