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q-fin.PM2018
Diversification, Volatility, and Surprising Alpha
Adrian Banner, Robert Fernholz, Vassilios Papathanakos +2
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-wei…
math.PR2018
Projections of scaled Bessel processes
Constantinos Kardaras, Johannes Ruf
Let and denote two independent squared Bessel processes of dimension and , respectively, with and , making a squared Bessel process o…
math.PR2018
A remark on H1 martingales
Hardy Hulley, Johannes Ruf
The space of H1 martingales is interesting because of its duality with the space of BMO martingales. It is straightforward to show that every H1 martingale is a uniformly integrabl…