Functional portfolio optimization in stochastic portfolio theory (Q5080133)
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scientific article; zbMATH DE number 7533970
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| English | Functional portfolio optimization in stochastic portfolio theory |
scientific article; zbMATH DE number 7533970 |
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Functional Portfolio Optimization in Stochastic Portfolio Theory (English)
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31 May 2022
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stochastic portfolio theory
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portfolio optimization
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functionally generated portfolio
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capital distribution
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convex optimization
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exponentially concave function
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Wasserstein metric
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0.8377143144607544
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0.8034831285476685
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0.7826170325279236
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