2 papers
q-fin.MF2025
Stochastic factors can matter: improving robust growth under ergodicity
Balint Binkert, David Itkin, Paul Mangers Bastian +1
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this…
q-fin.MF2025
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…