Related papers: Topics in Stochastic Portfolio Theory
There have been rapid developments in model-based clustering of graphs, also known as block modelling, over the last ten years or so. We review different approaches and extensions proposed for different aspects in this area, such as the…
We correct some oversights in the paper "A spectral sequence for stratified spaces and configuration spaces of points" by the second named author. In particular we explain that an additional hypothesis should be added to Theorem 4.15 in…
Theoretical analyses of stochastic search algorithms, albeit few, have always existed since these algorithms became popular. Starting in the nineties a systematic approach to analyse the performance of stochastic search heuristics has been…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
We use pathwise It\^o calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework of F\"ollmer's pathwise It\^o calculus and works for…
Survey sampling theory and methods are introduced. Sampling designs and estimation methods are carefully discussed as a textbook for survey sampling. Topics includes Horvitz-Thompson estimation, simple random sampling, stratified sampling,…
This survey covers in our opinion the most important results in the theory of continuous selections of multivalued mappings (approximately) from 2002 through 2012. It extends and continues our previous such survey which appeared in Recent…
This is a supplement to the article "Markov Chain Monte Carlo Based on Deterministic Transformations" available at http://arxiv.org/abs/1106.5850
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic…
This chapter introduces statistical methods used in the analysis of social networks and in the rapidly evolving parallel-field of network science. Although several instances of social network analysis in health services research have…
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…
In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative…
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by certain transformations of linear functions of a…
Stochastic network calculus is an evolving theory which accounts for statistical multiplexing and uses an envelope approach for probabilistic delay and backlog analysis of networks. One of the key ideas of stochastic network calculus is the…
We review the theory of martingales as applied to stochastic thermodynamics and stochastic processes in physics more generally.
This is a survey article describing some recent results at the interface of homogeneous dynamics and Diophantine approximation.
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
This chapter collects several probabilistic tools that proved to be useful in the analysis of randomized search heuristics. This includes classic material like Markov, Chebyshev and Chernoff inequalities, but also lesser known topics like…
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal…