Corpus ID: 158542294

Multilinear Superhedging of Lookback Options

@inproceedings{Garivaltis2018MultilinearSO,
  title={Multilinear Superhedging of Lookback Options},
  author={Alex Garivaltis},
  year={2018}
}
  • Alex Garivaltis
  • Published 2018
  • Economics
  • In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, $\theta(\cdot)$) and "nature," who picks the matrix $X$ of gross-returns of all stocks in all periods. Their (zero-sum) game has the payoff kernel $W_\theta(X)/D(X)$, where $W_\theta(X)$ is the trader's final wealth and $D(X)$ is the final wealth that would have accrued to a $\$1$ deposit into the best constant-rebalanced portfolio (or fixed-fraction… CONTINUE READING

    Create an AI-powered research feed to stay up to date with new papers like this posted to ArXiv