4 papers · 1 filter
Game-Theoretic Optimal Portfolios for Jump Diffusions
Alex Garivaltis
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover…
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…
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…
Super-Replication of the Best Pairs Trade in Hindsight
Alex Garivaltis
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A p…