Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

DOI10.1111/MAFI.12201;zbMath1427.91254arXiv1611.09631MaRDI QIDQ5241562

Walter Schachermayer, Ting-Kam Leonard Wong, Christa Cuchiero

Publication date: 31 October 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.09631

zbMATH Keywords

stochastic portfolio theorylog-optimal portfoliofunctionally generated portfoliosuniversal portfolioergodic Markov processdiffusions on the unit simplexlong-only portfolios

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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