Cover's Rebalancing Option With Discrete Hindsight Optimization
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- Alex Garivaltis, 2018. "Exact Replication of the Best Rebalancing Rule in Hindsight," Papers 1810.02485, arXiv.org, revised Mar 2019.
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
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- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
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Cited by:
- Alex Garivaltis, 2019.
"Nash Bargaining Over Margin Loans to Kelly Gamblers,"
Risks, MDPI, vol. 7(3), pages 1-14, August.
- Alex Garivaltis, 2019. "Nash Bargaining Over Margin Loans to Kelly Gamblers," Papers 1904.06628, arXiv.org, revised Aug 2019.
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