74 citations · 184 across the 30 of their papers we have counts for
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q-fin.PM2016
Model-free portfolio theory and its functional master formula
Alexander Schied, Leo Speiser, Iryna Voloshchenko
We use pathwise Itô calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework o…
q-fin.PM2015★ 1 cited
Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
Eyal Neuman, Alexander Schied
We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such m…
q-fin.PM2013
Model-free CPPI
Alexander Schied
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these inve…