no code implementations • 7 Mar 2024 • David Itkin, Martin Larsson
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons.
no code implementations • 28 Nov 2022 • David Itkin, Benedikt Koch, Martin Larsson, Josef Teichmann
We consider an asymptotic robust growth problem under model uncertainty and in the presence of (non-Markovian) stochastic covariance.
no code implementations • 26 Oct 2021 • David Itkin, Martin Larsson
Our approach combines open markets, where trading is confined to the top $N$ capitalized stocks as well as the market portfolio consisting of all $d$ assets, with a parametric family of models which we call hybrid Jacobi processes.
no code implementations • 17 Sep 2020 • David Itkin, Martin Larsson
In addition to the general results outlined above, we propose the use of a broad class of models for the volatility matrix $c(x)$, which can be calibrated to data and, under which, we obtain explicit formulas of the optimal unconstrained portfolio for any invariant density.
