Stochastic Portfolio Theory: an Overview
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Publication:3631185
DOI10.1016/S1570-8659(08)00003-3zbMath1180.91267OpenAlexW1481813283MaRDI QIDQ3631185
Ioannis Karatzas, E. Robert Fernholz
Publication date: 5 June 2009
Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00003-3
portfolio optimizationarbitragediversityvolatility-stabilized marketsportfolio generating functionsrank-based models
Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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