1 code implementation • 3 Oct 2023 • Christa Cuchiero, Janka Möller
We prove that these portfolios are universal in the sense that every continuous, possibly path-dependent, portfolio function of the market weights can be uniformly approximated by signature portfolios.
1 code implementation • 30 Jan 2023 • Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
Adding to such a primary process the Brownian motion driving the stock price, allows then to express both the log-price and the VIX squared as linear functions of the signature of the corresponding augmented process.
