Generalised Lyapunov Functions and Functionally Generated Trading Strategies
Generalised Lyapunov Functions and Functionally Generated Trading Strategies
This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to formulate conditions on trading strategies to be strong arbitrage relative to the market over sufficiently large time horizons. A mollification argument …