Stochastic Portfolio Theory and Stock Market Equilibrium
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- Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Mar 2018.
- repec:eee:eneeco:v:64:y:2017:i:c:p:286-297 is not listed on IDEAS
- Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.
- Jan Hendrik Witte, 2015. "Volatility Harvesting: Extracting Return from Randomness," Papers 1508.05241, arXiv.org, revised Nov 2015.
- Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
- Igor Evstigneev & Dhruv Kapoor, 2009.
"Arbitrage in stationary markets,"
Decisions in Economics and Finance,
Springer;Associazione per la Matematica, vol. 32(1), pages 5-12, May.
- Igor Evstigneev & Dhruv Kapoor, "undated". "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
- Igor Evstigneev & Dhruv Kapoor, 2006. "Arbitrage in stationary markets," The School of Economics Discussion Paper Series 0619, Economics, The University of Manchester.
- Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
- Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
- Muteba Mwamba, John & Suteni, Mwambi, 2010. "An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio," MPRA Paper 50240, University Library of Munich, Germany.
- Diane Wilcox & Tim Gebbie, 2013. "Factorising equity returns in an emerging market through exogenous shocks and capital flows," Papers 1306.5302, arXiv.org, revised Jul 2013.
- Fernholz, Robert, 1999. "On the diversity of equity markets," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 393-417, April.
- Keith Cuthbertson & Simon Hayley & Nick Motson & Dirk Nitzsche, 2016. "What Does Rebalancing Really Achieve?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 224-240, July.
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