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Stochastic Portfolio Theory: an Overview
13 references·16 citing·43 second hop
Stochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: an OverviewThe numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Universal Portfolios (1991)Universal PortfoliosOptimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Multidimensional Reflected Br…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Deep Learning for Portfolio Optimization (2020)Deep Learning for Portfolio O…Polynomial processes in stochastic portfolio theory (2018)Polynomial processes in stoch…Trading strategies generated by Lyapunov functions (2017)Trading strategies generated …Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)Optimal investment with inter…WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …Triple and simultaneous collisions of competing Brownian particles (2015)Triple and simultaneous colli…The geometry of relative arbitrage (2015)The geometry of relative arbi…Strict local martingales and bubbles (2015)Strict local martingales and …Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)Portfolio optimisation under …Market viability via absence of arbitrage of the first kind (2012)Market viability via absence …Convergence rates for rank-based models with applications to portfolio theory (2012)Convergence rates for rank-ba…Hybrid Atlas models (2011)Hybrid Atlas modelsAnalysis of market weights under volatility-stabilized market models (2011)Analysis of market weights un…On optimal arbitrage (2010)On optimal arbitrageM6—On Minimal Market Models and Minimal Martingale Measures (2010)M6—On Minimal Market Models a…Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2010)Finitely Additive Probabiliti…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Limit Theorems for Stochastic Processes (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)No Arbitrage and General Semimartingales (2008)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Portfolio Selection (1952)A Simplified Model for Portfolio Analysis (1963)Essays in the Theory of Risk-Bearing. (1972)Adaptive Game Playing Using Multiplicative Weights (1999)Efficient algorithms for online decision problems (2004)Robust Dynamic Programming (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1991Universal Portfolios581 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 1987Brownian models of open queueing networks with homogeneous customer populations ∗312 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 1987Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions236 cited

Cited by

  • 2020Deep Learning for Portfolio Optimization150 cited
  • 2011Hybrid Atlas models117 cited
  • 2012Market viability via absence of arbitrage of the first kind79 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2010On optimal arbitrage76 cited
  • 2010Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing68 cited
  • 2015The geometry of relative arbitrage52 cited
  • 2012Convergence rates for rank-based models with applications to portfolio theory52 cited
  • 2010M6—On Minimal Market Models and Minimal Martingale Measures51 cited
  • 2015Triple and simultaneous collisions of competing Brownian particles47 cited
  • 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model43 cited
  • 2015Strict local martingales and bubbles42 cited
  • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
  • 2017Trading strategies generated by Lyapunov functions42 cited
  • 2011Analysis of market weights under volatility-stabilized market models40 cited
  • 2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk31 cited
  • 2018Polynomial processes in stochastic portfolio theory31 cited