{"id":"https://openalex.org/W2330452188","doi":"https://doi.org/10.1007/s00780-017-0332-8","title":"Trading strategies generated by Lyapunov functions","display_name":"Trading strategies generated by Lyapunov functions","publication_year":2017,"publication_date":"2017-05-25","ids":{"openalex":"https://openalex.org/W2330452188","doi":"https://doi.org/10.1007/s00780-017-0332-8","mag":"2330452188"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-017-0332-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0332-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0332-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0332-8.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5060473555","display_name":"Ioannis Karatzas","orcid":null},"institutions":[{"id":"https://openalex.org/I4210134011","display_name":"Bristol-Myers Squibb (Sweden)","ror":"https://ror.org/035hx4w46","country_code":"SE","type":"company","lineage":["https://openalex.org/I4210091812","https://openalex.org/I4210134011"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["SE","US"],"is_corresponding":false,"raw_author_name":"Ioannis Karatzas","raw_affiliation_strings":["Department of Mathematics, Columbia University, New York, NY, 10027, USA","Intech Investment Management, One Palmer Square, Suite 441, Princeton, NJ, 08542, USA","INTECH Investment Management, Princeton, USA","Department of Mathematics, Columbia University, New York, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Columbia University, New York, NY, 10027, USA","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"Intech Investment Management, One Palmer Square, Suite 441, Princeton, NJ, 08542, USA","institution_ids":["https://openalex.org/I4210134011"]},{"raw_affiliation_string":"INTECH Investment Management, Princeton, USA","institution_ids":[]},{"raw_affiliation_string":"Department of Mathematics, Columbia University, New York, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5064155198","display_name":"Johannes Ruf","orcid":"https://orcid.org/0000-0003-3616-2194"},"institutions":[{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Johannes Ruf","raw_affiliation_strings":["Department of Mathematics, London School of Economics and Political Science, Columbia House, Houghton St, London, WC2A 2AE, UK","Department of Mathematics London School of Economics and Political Science London UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, London School of Economics and Political Science, Columbia House, Houghton St, London, WC2A 2AE, UK","institution_ids":["https://openalex.org/I909854389"]},{"raw_affiliation_string":"Department of Mathematics London School of Economics and Political Science London UK","institution_ids":["https://openalex.org/I909854389"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":1.5229,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.83390463,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"21","issue":"3","first_page":"753","last_page":"787"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9890000224113464,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6488816738128662},{"id":"https://openalex.org/keywords/probabilistic-logic","display_name":"Probabilistic logic","score":0.5526272058486938},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5150501728057861},{"id":"https://openalex.org/keywords/lyapunov-function","display_name":"Lyapunov function","score":0.5133734941482544},{"id":"https://openalex.org/keywords/property","display_name":"Property (philosophy)","score":0.49256354570388794},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.49094298481941223},{"id":"https://openalex.org/keywords/point-process","display_name":"Point process","score":0.4895347058773041},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.48677942156791687},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4609314799308777},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4588802754878998},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.44400322437286377},{"id":"https://openalex.org/keywords/lyapunov-exponent","display_name":"Lyapunov exponent","score":0.4331837296485901},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.42015159130096436},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.39191561937332153},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3568294048309326},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3467918634414673},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3097054958343506},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.27909359335899353},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2224588692188263},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08849433064460754},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.07463997602462769}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6488816738128662},{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.5526272058486938},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5150501728057861},{"id":"https://openalex.org/C60640748","wikidata":"https://www.wikidata.org/wiki/Q2337858","display_name":"Lyapunov function","level":3,"score":0.5133734941482544},{"id":"https://openalex.org/C189950617","wikidata":"https://www.wikidata.org/wiki/Q937228","display_name":"Property (philosophy)","level":2,"score":0.49256354570388794},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.49094298481941223},{"id":"https://openalex.org/C88871306","wikidata":"https://www.wikidata.org/wiki/Q7208287","display_name":"Point process","level":2,"score":0.4895347058773041},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.48677942156791687},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4609314799308777},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4588802754878998},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.44400322437286377},{"id":"https://openalex.org/C191544260","wikidata":"https://www.wikidata.org/wiki/Q1238630","display_name":"Lyapunov exponent","level":3,"score":0.4331837296485901},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.42015159130096436},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.39191561937332153},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3568294048309326},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3467918634414673},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3097054958343506},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.27909359335899353},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2224588692188263},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08849433064460754},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07463997602462769},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C2777052490","wikidata":"https://www.wikidata.org/wiki/Q5072826","display_name":"Chaotic","level":2,"score":0.0},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0}],"mesh":[],"locations_count":9,"locations":[{"id":"doi:10.1007/s00780-017-0332-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0332-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0332-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1603.08245","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1603.08245","pdf_url":"https://arxiv.org/pdf/1603.08245","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null},{"id":"pmh:oai:eprints.lse.ac.uk:69177","is_oa":true,"landing_page_url":"https://orcid.org/0000-0003-3616-2194>","pdf_url":"http://eprints.lse.ac.uk/69177/7/Ruf_Trading%20strategies%20published_2017.pdf","source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"mag:2330452188","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1603.08245","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:2977868746","is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:arx:papers:1603.08245","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1603.08245","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:ehl:lserod:69177","is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/69177/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-017-0332-8","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.48550/arxiv.1603.08245","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1603.08245","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.1007/s00780-017-0332-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-017-0332-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00780-017-0332-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G8332419023","display_name":null,"funder_award_id":"NSF-DMS-14-05210","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320320290","display_name":"University of Oxford","ror":"https://ror.org/052gg0110"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2330452188.pdf","grobid_xml":"https://content.openalex.org/works/W2330452188.grobid-xml"},"referenced_works_count":30,"referenced_works":["https://openalex.org/W50201160","https://openalex.org/W299832057","https://openalex.org/W1481813283","https://openalex.org/W1617855186","https://openalex.org/W1630963925","https://openalex.org/W1758255739","https://openalex.org/W1797562726","https://openalex.org/W1963490892","https://openalex.org/W1988797451","https://openalex.org/W1992209353","https://openalex.org/W1992472513","https://openalex.org/W2022770888","https://openalex.org/W2030718593","https://openalex.org/W2037912907","https://openalex.org/W2056783347","https://openalex.org/W2101777517","https://openalex.org/W2112319103","https://openalex.org/W2119353074","https://openalex.org/W2329457872","https://openalex.org/W2516483958","https://openalex.org/W2521314673","https://openalex.org/W3099712572","https://openalex.org/W3121450802","https://openalex.org/W3122091132","https://openalex.org/W3122965701","https://openalex.org/W4247261252","https://openalex.org/W4248529324","https://openalex.org/W4249667877","https://openalex.org/W4250791570","https://openalex.org/W4301668100"],"related_works":["https://openalex.org/W2977868746","https://openalex.org/W3156094925","https://openalex.org/W2922274210","https://openalex.org/W3121456256","https://openalex.org/W3124005174","https://openalex.org/W2613326202","https://openalex.org/W3098524171","https://openalex.org/W1498792426","https://openalex.org/W2102414433","https://openalex.org/W2193497782","https://openalex.org/W3123258873","https://openalex.org/W3123109291","https://openalex.org/W2050590804","https://openalex.org/W3122362042","https://openalex.org/W2284353765","https://openalex.org/W3126062785","https://openalex.org/W1557975095","https://openalex.org/W173908617","https://openalex.org/W2941942993","https://openalex.org/W3126039694"],"abstract_inverted_index":{"Functional":[0],"portfolio":[1,114],"generation,":[2],"initiated":[3],"by":[4],"E.R.":[5],"Fernholz":[6],"almost":[7],"20":[8],"years":[9],"ago,":[10],"is":[11,22,79,108],"a":[12,80,120],"methodology":[13],"for":[14,58],"constructing":[15],"trading":[16],"strategies":[17],"with":[18],"controlled":[19],"behavior.":[20],"It":[21],"based":[23],"on":[24,30,143],"very":[25],"weak":[26],"and":[27,38,94,99,138],"descriptive":[28],"assumptions":[29],"the":[31,35,48,59,71,74,101,112,125,132],"covariation":[32],"structure":[33],"of":[34,42,64,86,90,103,123,134,141],"underlying":[36],"market,":[37],"needs":[39],"no":[40],"estimation":[41],"model":[43],"parameters.":[44],"In":[45],"this":[46],"paper,":[47],"corresponding":[49],"generating":[50],"functions":[51,57],"$G$":[52],"are":[53],"interpreted":[54],"as":[55],"Lyapunov":[56],"vector":[60],"process":[61,75],"$\\mu":[62],"$":[63],"relative":[65],"market":[66,113],"weights;":[67],"that":[68,73],"is,":[69],"via":[70],"property":[72],"$G":[76],"(\\mu":[77],")$":[78],"supermartingale":[81],"under":[82,105],"an":[83],"appropriate":[84,116],"change":[85],"measure.":[87],"This":[88],"point":[89,122],"view":[91],"unifies,":[92],"generalizes,":[93],"simplifies":[95],"many":[96],"existing":[97],"results,":[98],"allows":[100],"formulation":[102],"conditions":[104],"which":[106],"it":[107],"possible":[109],"to":[110],"outperform":[111],"over":[115],"time":[117],"horizons.":[118],"From":[119],"probabilistic":[121],"view,":[124],"approach":[126],"offered":[127],"here":[128],"yields":[129],"results":[130],"concerning":[131],"interplay":[133],"stochastic":[135],"discount":[136],"factors":[137],"concave":[139],"transformations":[140],"semimartingales":[142],"compact":[144],"domains.":[145]},"counts_by_year":[{"year":2018,"cited_by_count":5}],"updated_date":"2026-07-15T18:14:33.161393","created_date":"2025-10-10T00:00:00"}