Topics in Stochastic Portfolio Theory
Alexander Vervuurt
TL;DR
This paper provides an updated overview of Stochastic Portfolio Theory, summarizing key concepts, developments, and recent advances in the field, serving as a comprehensive survey for researchers and practitioners.
Contribution
It extends and updates the previous survey by Fernholz and Karatzas, incorporating recent progress and insights in Stochastic Portfolio Theory.
Findings
Summarizes recent theoretical developments
Highlights new applications in portfolio management
Provides a comprehensive overview of the field
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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Taxonomy
TopicsHousing Market and Economics · Stochastic processes and financial applications · Risk and Portfolio Optimization