Universal portfolios in continuous time: an approach in pathwise It\^o calculus

Xiyue Han and Alexander Schied

Papers from arXiv.org

Abstract: We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of F\"ollmer's pathwise It\^o calculus. We establish the existence of the universal portfolio strategy and prove that its portfolio value process is the average of all values of constant rebalanced strategies. This result relies on a systematic comparison between two alternative descriptions of self-financing trading strategies within pathwise It\^o calculus. We moreover provide a comparison result for the performance and the realized volatility and variance of constant rebalanced portfolio strategies

Date: 2025-04, Revised 2025-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2504.11881 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2504.11881

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().