Functional Portfolio Optimization in Stochastic Portfolio Theory

DOI10.1137/21M1417715zbMath1491.91114arXiv2103.10925OpenAlexW3136862634MaRDI QIDQ5080133

Steven W. Campbell, Ting-Kam Leonard Wong

Publication date: 31 May 2022

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

Full work available at URL: https://arxiv.org/abs/2103.10925

zbMATH Keywords

convex optimizationWasserstein metricportfolio optimizationstochastic portfolio theoryfunctionally generated portfolioexponentially concave functioncapital distribution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Model‐free portfolio theory: A rough path approach

Uses Software

• CVX
• Mosek
• POT

Cites Work

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