13 citations · 16 across the 4 of their papers we have counts for
4 papers
Model-free portfolio allocation in continuous-time
Henry Chiu
We present a non-probabilistic, path-by-path framework for studying path-dependent (i.e., where weight is a functional of time and historical time-series), long-only portfolio allo…
A model-free approach to continuous-time finance
Henry Chiu, Rama Cont
We present a non-probabilistic, pathwise approach to continuous-time finance based on causal functional calculus. We introduce a definition of self-financing, free from any integra…
Causal functional calculus
Henry Chiu, Rama Cont
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwis…
On pathwise quadratic variation for cadlag functions
Henry Chiu, Rama Cont
We revisit H. Foellmer's concept of quadratic variation of a cadlag function along a sequence of time partitions and discuss its relation with the Skorokhod topology. We show that…