751 citations · 3.2k across the 102 of their papers we have counts for
Showing 1999 · cond-mat.stat-mechShow all
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cond-mat.stat-mech1999★ 38 cited
Growth Optimal Investment and Pricing of Derivatives
Erik Aurell, Roberto Baviera, Ola Hammarlid +2
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why the…
cond-mat.stat-mech1999★ 10 cited
Financial Friction and Multiplicative Markov Market Game
Erik Aurell, Paolo Muratore-Ginanneschi
We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form,…