51 citations · 256 across the 30 of their papers we have counts for
41 papers
On integrability of local utility maximizing strategies
Aleš Černý, Johannes Ruf
In stochastic control problems involving optimal portfolio choice, one often seeks an optimizer of some local criterion (dynamic programming value function) generated by some globa…
One-dimensional Feynman--Kac regularity under the Engelbert--Schmidt conditions
Johannes Ruf
Let be a time-homogeneous one-dimensional diffusion whose coefficients satisfy the Engelbert--Schmidt conditions, and let be a bounded potential. We show that the associate…
Strong duality for the GROW criterion
Ashwin Ram, Martin Larsson, Johannes Ruf +1
This paper presents general strong duality results when testing hypotheses by betting against them. A bet is an e-variable for a composite null hypothesis $\Pcal$: a nonnegative ra…
Diversifying an Index
Johannes Ruf
In July 2023, Nasdaq announced a `Special Rebalance' of the Nasdaq-100 index to reduce the index weights of its large constituents. A rebalance as suggested currently by Nasdaq ind…
Estimation of growth in fund models
Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivale…
A composite generalization of Ville's martingale theorem using e-processes
Johannes Ruf, Martin Larsson, Wouter M. Koolen +1
We provide a composite version of Ville's theorem that an event has zero measure if and only if there exists a nonnegative martingale which explodes to infinity when that event occ…