2 papers
math.PR2020
Convergence of Local Supermartingales
Martin Larsson, Johannes Ruf
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of station…
q-fin.MF2016
Trading Strategies Generated by Lyapunov Functions
Ioannis Karatzas, Johannes Ruf
Functional portfolio generation, initiated by E.R. Fernholz almost twenty years ago, is a methodology for constructing trading strategies with controlled behavior. It is based on v…