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Topics in Stochastic Portfolio Theory

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  • Alexander Vervuurt

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).

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  • Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
    • Handle: RePEc:arx:papers:1504.02988
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    References listed on IDEAS

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    Cited by:

    1. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
    2. Martin Larsson & Johannes Ruf, 2021. "Relative arbitrage: Sharp time horizons and motion by curvature," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 885-906, July.
    3. Patrick Mijatovic, 2021. "Beating the Market with Generalized Generating Portfolios," Papers 2101.07084, arXiv.org.
    4. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.

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