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q-fin.MF2025
Pathwise analysis of log-optimal portfolios
Andrew L. Allan, Anna P. Kwossek, Chong Liu +1
Based on the theory of càdlàg rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories genera…
q-fin.MF2020
Supermartingale deflators in the absence of a numéraire
Philipp Harms, Chong Liu, Ariel Neufeld
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of…