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Generalized supermartingale deflators under limited information
Limited information generalized supermartingales boundedness in probability arbitrages Limited information generalized supermartingales boundedness in probability arbitrages
2010/11/1
We undertake a study of markets from the perspective of a financial agent with limited
access to information. The set of wealth processes available to the agent is structured with reason-able economi...
Diversification and limited information in the Kelly game
Portfolio Management Data Analysis Statistics Probability Physics Society Applications
2010/12/16
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. W...