The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...

The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...

We present a new limit theorem for random means: if the sample size is not deterministic but has a negative binomial or geometric distribution, the limit distribution of the normalised random mean is a t-distribution with degrees of freedom depending on the shape parameter of the negative...

Eventologically multivariate extensions of probability theory’s limit theorems are proposed. Eventologically multivariate version of limit theorems extends its classical probabilistic interpretation and involves into its structure of dependencies of arbitrary set of events which appears in...

This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the...