The Markowitz Category

DOI10.1137/17M1155727zbMath1416.91340arXiv1611.07741MaRDI QIDQ4553798

John Armstrong

Publication date: 31 October 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07741

zbMATH Keywords

categoryportfolio optimizationisomorphismMarkowitz

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Itô stochastic differentials ⋮ Classifying financial markets up to isomorphism

Cites Work

• Information geometry and sufficient statistics
• General Theory of Natural Equivalences

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