Model-Free Portfolio Theory and Its Functional Master Formula (Q4553804)
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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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