13 citations · 16 across the 4 of their papers we have counts for
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q-fin.MF2024
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…
q-fin.MF2022★ 3 cited
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…