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- W2895030411 abstract "In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min 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 trader's final wealth and $D(X)$ is the final wealth that would have accrued to a $$1$ deposit into the best constant-rebalanced (or fixed-fraction betting scheme) determined in hindsight. The resulting universal portfolio compounds its money at the same asymptotic rate as the best rebalancing rule in hindsight, thereby beating the market asymptotically under extremely general conditions. Smitten with this (1998) result, the present paper solves the most general tractable version of Cover and Ordentlich's (1998) max-min game. This obtains for performance benchmarks (read: derivatives) that are separately convex and homogeneous in each period's gross-return vector. For completely arbitrary (even non-measurable) performance benchmarks, we show how the axiom of choice can be used to find an exact maximin strategy for the trader." @default.
- W2895030411 created "2018-10-12" @default.
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- W2895030411 date "2018-10-04" @default.
- W2895030411 modified "2023-09-27" @default.
- W2895030411 title "Multilinear Superhedging of Lookback Options" @default.
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