3 citations · 12 across the 13 of their papers we have counts for
3 papers · 1 filter
Time-consistent conditional expectation under probability distortion
Jin Ma, Ting-Kam Leonard Wong, Jianfeng Zhang
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond…
On portfolios generated by optimal transport
Ting-Kam Leonard Wong
First introduced by Fernholz in stochastic portfolio theory, functionally generated portfolio allows its investment performance to be attributed to directly observable and easily i…
Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
Christa Cuchiero, Walter Schachermayer, Ting-Kam Leonard Wong
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant re…