David Itkin

activity

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 2021Show all

2 papers · 1 filter

q-fin.MF2021

Open Markets and Hybrid Jacobi Processes

David Itkin, Martin Larsson

We propose a unified approach to several problems in Stochastic Portfolio Theory (SPT), which is a framework for equity markets with a large number $d$ of stocks. Our approach comb…

math.PR2021★ 3 cited

On A Class Of Rank-Based Continuous Semimartingales

David Itkin, Martin Larsson

Using the theory of Dirichlet forms we construct a large class of continuous semimartingales on an open domain $E \subset R^{d}$ , which are governed by rank-based, in additi…