Model-free portfolio theory and its functional master formula (Q4553804)
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scientific article; zbMATH DE number 6969772
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| 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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0.7880724668502808
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0.7872704863548279
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0.765861988067627
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0.763139009475708
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