51 citations · 256 across the 30 of their papers we have counts for
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q-fin.MF2020
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
Martin Larsson, Johannes Ruf
We characterize the minimal time horizon over which any equity market with stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the marke…
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…