Exponentially concave functions and high dimensional stochastic portfolio theory

DOI10.1016/j.spa.2018.09.004zbMath1422.91665arXiv1603.01865OpenAlexW2963413755WikidataQ129222159 ScholiaQ129222159MaRDI QIDQ2274294

Soumik Pal

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.01865

zbMATH Keywords

stochastic portfolio theoryrelative arbitrageexponentially concave functionshigh-dimensional financeshort term arbitrage

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35) Portfolio theory (91G10)

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