David Itkin

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20202026

most citedRobust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints

8 citations · 12 across the 10 of their papers we have counts for

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Showing 2023 · math.PRShow all

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math.PR2023

Generalized Rank Dirichlet Distributions

David Itkin

We study a new parametric family of distributions on the ordered simplex $\nabla^{d - 1} = {y \in R^{d} : y_{1} \geq \dots \geq y_{d} \geq 0, \sum_{k = 1}^{d} y_{k} = 1}$ , which we cal…