Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio (Q5241562)
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scientific article; zbMATH DE number 7125066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio |
scientific article; zbMATH DE number 7125066 |
Statements
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio (English)
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31 October 2019
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diffusions on the unit simplex
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ergodic Markov process
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functionally generated portfolios
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long-only portfolios
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log-optimal portfolio
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stochastic portfolio theory
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universal portfolio
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