Ting‐Kam Leonard Wong

University of Toronto

Toronto, M5S 3G8

Canada

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Cover's Universal Portfolio, Stochastic Portfolio Theory, and the Numéraire Portfolio

Mathematical Finance, Vol. 29, Issue 3, pp. 773-803, 2019
Number of pages: 31 Posted: 29 May 2020
Christa Cuchiero, Walter Schachermayer and Ting‐Kam Leonard Wong
University of Vienna - Faculty of Science and Mathematics, University of Vienna and University of Toronto
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Abstract:

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Diffusions on the unit simplex, ergodic Markov process, functionally generated portfolios, long‐only portfolios, log‐optimal portfolio, stochastic portfolio theory, universal portfolio