Multilinear Superhedging of Lookback Options

In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, \theta(\cdot)) and "nature," who picks the matrix X of gross-returns of all stocks in all periods. Their (zero-sum) game has the payoff kernel W_\theta(X)/D(X), where W_\theta(X) is the... Show more