63 citations · 75 across the 12 of their papers we have counts for
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q-fin.MF2025
Universal portfolios in continuous time: an approach in pathwise Itô calculus
Xiyue Han, Alexander Schied
We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of Föllmer's pathwise Itô calc…
q-fin.ST2025
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
Xiyue Han, Alexander Schied
In [Han \& Schied, 2023, \textit{arXiv 2307.02582}], an easily computable scale-invariant estimator was constructed to estimate the Hurst parameter of t…