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

October 20, 2022

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Multilinear Superhedging of Lookback Options

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