Some remarks on functionally generated portfolios

6 May 2016
13:00
to
14:30
Johannes Ruf
Abstract

In the first part of the talk I will review Bob Fernholz' theory of functionally generated portfolios. In the second part I will discuss questions related to the existence of short-term arbitrage opportunities.
This is joint work with Bob Fernholz and Ioannis Karatzas

  • Mathematical Finance Internal Seminar