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Stochastic Portfolio Theory: an Overview - MaRDI portal

Stochastic Portfolio Theory: an Overview (Q3631185)

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Stochastic Portfolio Theory: an Overview
scientific article

    Statements

    title
    Stochastic Portfolio Theory: an Overview (English)
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    author
    Ioannis Karatzas
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    E. Robert Fernholz
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    publication date
    5 June 2009
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    zbMATH Keywords
    portfolio optimization
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    arbitrage
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    diversity
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    portfolio generating functions
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    volatility-stabilized markets
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    rank-based models
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91-02
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    91G20
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    91G80
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    60H30
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    91B70
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    zbMATH DE Number
    5562304
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    OpenAlex ID
    W1481813283
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