1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2024
Calibrated rank volatility stabilized models for large equity markets
David Itkin, Martin Larsson
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensi…
q-fin.MF2022★ 1 cited
Ergodic robust maximization of asymptotic growth with stochastic factor processes
David Itkin, Benedikt Koch, Martin Larsson +1
We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the as…