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On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market
9 references·2 citing·35 second hop
On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market (2011)On arbitrage possibilities via linear fee…On performance limits of feedback control-based stock trading strategies (2011)On performance limits of feed…Dynamic hedging of basket options under proportional transaction costs using receding horizon control (2009)Dynamic hedging of basket opt…An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (2009)An Affine Control Method for …Optimal pairs trading: A stochastic control approach (2008)Optimal pairs trading: A stoc…Multi-period portfolio optimization with linear control policies (2008)Multi-period portfolio optimi…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous (2016)On Stock Trading Via Feedback…On market-neutral stock trading arbitrage via linear feedback (2012)On market-neutral stock tradi…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)A Theory of the Term Structure of Interest Rates (1985)Theory of Rational Option Pricing (1973)Coherent Measures of Risk (1999)Scenario-based stochastic model predictive control for dynamic option hedging (2010)A stochastic model predictive control approach to dynamic option hedging with transaction costs (2011)On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Intertemporal Capital Asset Pricing Model (1973)Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules (2011)A constraint sampling approach for multi-stage robust optimization (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations: An Introduction with Applications. (1987)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Market making and mean reversion (2011)Dynamic pairs trading using the stochastic control approach (2013)Model-based pairs trading in the bitcoin markets (2016)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)Generalized decision rule approximations for stochastic programming via liftings (2014)Binary decision rules for multistage adaptive mixed-integer optimization (2017)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2008Multi-period portfolio optimization with linear control policies151 cited
  • 2008Optimal pairs trading: A stochastic control approach112 cited
  • 2009An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs59 cited
  • 2009Dynamic hedging of basket options under proportional transaction costs using receding horizon control54 cited
  • 2011On performance limits of feedback control-based stock trading strategies39 cited

Cited by

  • 2012On market-neutral stock trading arbitrage via linear feedback27 cited
  • 2016On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous27 cited

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