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Stochastic Portfolio Theory: an Overview · Study

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ChapterStochastic Portfolio Theory: an Overview

Ioannis Karatzas2009

Chapter2009

Stochastic Portfolio Theory: an Overview

Ioannis Karatzas · Robert Fernholz

169 citations·0/0 files stored·Handbook of numerical analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*2007Brownian Motion and Stochastic Calculus 1993Dynamic Asset Pricing Theory.1991Brownian motion and stochastic calculus 1998Methods of Mathematical Finance 1998Methods of Mathematical Finance 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 1991Universal Portfolios

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2020Deep Learning for Portfolio Optimization 2011Hybrid Atlas models 2012Market viability via absence of arbitrage of the first kind 2010On optimal arbitrage 2010Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing 2012Convergence rates for rank-based models with applications to portfolio theory 2015The geometry of relative arbitrage

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Year2009

Typechapter

Published2009-01-01

VenueHandbook of numerical analysis

ISSN-L1570-8659

Languageen

Citations169

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s1570-8659(08)00003-3

openalex_workW1481813283

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2010

M6—On Minimal Market Models and Minimal Martingale Measures