Super-Replication of the Best Pairs Trade in Hindsight
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- Alex Garivaltis, 2018. "Exact Replication of the Best Rebalancing Rule in Hindsight," Papers 1810.02485, arXiv.org, revised Mar 2019.
- Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
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- Erik Ordentlich & Thomas M. Cover, 1998. "The Cost of Achieving the Best Portfolio in Hindsight," Mathematics of Operations Research, INFORMS, vol. 23(4), pages 960-982, November.
- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
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