Model-Free Portfolio Theory and Its Functional Master Formula (Q4553804)
From MaRDI portal
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)
0 references
31 October 2018
0 references
pathwise Itô calculus
0 references
Föllmer integral
0 references
functional Itô formula
0 references
portfolio analysis
0 references
market portfolio
0 references
portfolio-generating functionals
0 references
functional master formula on path space
0 references
entropy weighting
0 references
0 references
