3 citations · 4 across the 10 of their papers we have counts for
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q-fin.PR2018
Exact Replication of the Best Rebalancing Rule in Hindsight
Alex Garivaltis
This paper prices and replicates the financial derivative whose payoff at is the wealth that would have accrued to a deposit into the best continuously-rebalanced portfol…
q-fin.PR2018★ 1 cited
Multilinear Superhedging of Lookback Options
Alex Garivaltis
In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, ) and "nature," who picks th…