51 citations · 256 across the 30 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.PM2022
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…
math.PR2022★ 1 cited
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…