Stochastic Portfolio Theory: an Overview
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Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
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Cited in
(89)- Polynomial jump-diffusions on the unit simplex
- Infinite systems of competing Brownian particles
- Backward stochastic differential equations with rank-based data
- SPDE limit of the global fluctuations in rank-based models
- Stationary distributions of the Atlas model
- Volatility and arbitrage
- Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
- Strict local martingale deflators and valuing American call-type options
- Concentration for multidimensional diffusions and their boundary local times
- Convergence rates for rank-based models with applications to portfolio theory
- Instability and concentration in the distribution of wealth
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Polynomial processes in stochastic portfolio theory
- Leakage of rank-dependent functionally generated trading strategies
- Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
- Random concave functions
- Domains of attraction of invariant distributions of the infinite atlas model
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- The impact of randomness on the distribution of wealth: some economic aspects of the Wright-Fisher diffusion process
- Beating the market? A mathematical puzzle for market efficiency
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- Pricing without no-arbitrage condition in discrete time
- A stock market model based on CAPM and market size
- Sub-exponential rate of convergence to equilibrium for processes on the half-line
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Dynamics of observables in rank-based models and performance of functionally generated portfolios
- Trading strategies generated pathwise by functions of market weights
- The infinite Atlas process: convergence to equilibrium
- Large rank-based models with common noise
- Capital distribution and portfolio performance in the mean-field Atlas model
- Strict local martingales and bubbles
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Two Brownian particles with rank-based characteristics and skew-elastic collisions
- Modeling flocks and prices: jumping particles with an attractive interaction
- Probability measure-valued polynomial diffusions
- Market-to-book ratio in stochastic portfolio theory
- Large deviations for diffusions interacting through their ranks
- Strong bubbles and strict local martingales
- Diffusion-based models for financial markets without martingale measures
- A note on applications of stochastic ordering to control problems in insurance and finance
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- The geometry of relative arbitrage
- Diverse market models of competing Brownian particles with splits and mergers
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- Outperforming the market portfolio with a given probability
- Model-free portfolio theory and its functional master formula
- Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
- Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
- Two-sided infinite systems of competing Brownian particles
- Long time behaviour and mean-field limit of Atlas models
- Stochastic portfolio theory optimization and the origin of rule-based investing
- Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- A second-order stock market model
- Negative call prices
- Generalized volatility-stabilized processes
- On a class of diverse market models
- Information geometry in portfolio theory
- Functional portfolio optimization in stochastic portfolio theory
- The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
- Zipf's law for Atlas models
- Market Models with Optimal Arbitrage
- Valuation and parities for exchange options
- Analysis of market weights under volatility-stabilized market models
- Evaluating hybrid products: the interplay between financial and insurance markets
- Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
- Open markets
- Model‐free portfolio theory: A rough path approach
- Diversity and arbitrage in a regulatory breakup model
- Optimal arbitrage under model uncertainty
- Measure-valued affine and polynomial diffusions
- Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
- High moments of the SHE in the clustering regimes
- Long-time behavior of finite and infinite dimensional reflected Brownian motions
- From rank-based models with common noise to pathwise entropy solutions of SPDEs
- Signature methods in stochastic portfolio theory
- Macroscopic properties of equity markets: stylized facts and portfolio performance
- Market viability via absence of arbitrage of the first kind
- Quantitative fundamental theorem of asset pricing
- Two-barriers-reflected BSDE with rank-based data
- Relative arbitrage opportunities in an extended mean field system
- Fluctuations of the Atlas model from inhomogeneous stationary profiles
- Metric viscosity solutions and distance-like functions on the Wasserstein space
- Flocking under fast and large jumps: stability, chaos, and traveling waves
- A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
- Optimization of relative arbitrage
- Diversity-weighted portfolios with negative parameter
- On optimal arbitrage
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