48 citations · 88 across the 27 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.MF2019
The implied Sharpe ratio
Ankush Agarwal, Matthew Lorig
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. H…
q-fin.MF2019
Optimal Bookmaking
Matthew Lorig, Zhou Zhou, Bin Zou
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the pri…