Week 03.03.2025 – 09.03.2025

We introduce a non-probabilistic, path-by-path framework for continuous-time, path-dependent portfolio allocation. Extending the self-financing concept recently introduced in Chiu & Cont (2023), we characterize self-financing portfolio allocation strategies through a path-dependent PDE and provide explicit solutions for the portfolio value in generic markets, including price paths that are not necessarily continuous or exhibit variation of any order.

As an application, we extend an aggregating algorithm of Vovk and the universal algorithm of Cover to continuous-time meta-algorithms that combine multiple strategies into a single strategy, respectively tracking the best individual and the best convex combination of strategies. This work extends Cover’s theorem to continuous-time without probability.