Non-stochastic portfolio theory
Portfolio Management
2018-02-28 v2
Abstract
This paper studies a non-stochastic version of Fernholz's stochastic portfolio theory for a simple model of stock markets with continuous price paths. It establishes non-stochastic versions of the most basic results of stochastic portfolio theory and discusses connections with Stroock-Varadhan martingales.
Cite
@article{arxiv.1712.09108,
title = {Non-stochastic portfolio theory},
author = {Vladimir Vovk},
journal= {arXiv preprint arXiv:1712.09108},
year = {2018}
}
Comments
16 pages, 1 figure; Working Paper 51 at http://probabilityandfinance.com