Portfolio Optimization in the Stochastic Portfolio Theory Framework
Portfolio Management
2016-01-29 v1
Abstract
I discuss some theoretical results with a view to motivate some practical choices in portfolio optimization. Even though the setting is not completely general (for example, the covariance matrix is assumed to be non-singular), I attempt to highlight the features that have practical relevance. The mathematical setting is Stochastic Portfolio Theory, which is flexible enough to describe most realistic assets, and it has been successfully employed for managing equity portfolios since 1987.
Keywords
Cite
@article{arxiv.1601.07628,
title = {Portfolio Optimization in the Stochastic Portfolio Theory Framework},
author = {Vassilios Papathanakos},
journal= {arXiv preprint arXiv:1601.07628},
year = {2016}
}
Comments
15 pages, 1 figure