2 papers
cs.IT2026
A mathematical study of the excess growth rate
Steven Campbell, Ting-Kam Leonard Wong
The excess growth rate, defined as the gap in Jensen's inequality for the logarithm, is a fundamental functional in portfolio theory. In this paper, we present a mathematical study…
q-fin.ST2025
Macroscopic properties of equity markets: stylized facts and portfolio performance
Steven Campbell, Qien Song, Ting-Kam Leonard Wong
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and…