Model-Free Portfolio Theory and Its Functional Master Formula (Q4553804): Difference between revisions

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Latest revision as of 03:18, 28 August 2024

scientific article; zbMATH DE number 6969772
Language Label Description Also known as
English
Model-Free Portfolio Theory and Its Functional Master Formula
scientific article; zbMATH DE number 6969772

    Statements

    Model-Free Portfolio Theory and Its Functional Master Formula (English)
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    31 October 2018
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    pathwise Itô calculus
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    Föllmer integral
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    functional Itô formula
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    portfolio analysis
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    market portfolio
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    portfolio-generating functionals
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    functional master formula on path space
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    entropy weighting
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