Topics in Stochastic Portfolio Theory
Mathematical Finance
2015-04-14 v1 Probability
Portfolio Management
Abstract
This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numerical Analysis Vol.15:89-167, 2009).
Cite
@article{arxiv.1504.02988,
title = {Topics in Stochastic Portfolio Theory},
author = {Alexander Vervuurt},
journal= {arXiv preprint arXiv:1504.02988},
year = {2015}
}
Comments
62 pages, first-year transfer thesis