Autumn Semester 2020 takes place in a mixed form of online and classroom teaching.
Please read the published information on the individual courses carefully.

401-4912-11L  Trends in Stochastic Portfolio Theory

SemesterAutumn Semester 2018
LecturersM. Larsson
Periodicitynon-recurring course
Language of instructionEnglish



Catalogue data

AbstractThis course presents an introduction to Stochastic Portfolio Theory, which
provides a mathematical framework for studying and exploiting empirically
observed regularities of large equity markets. A central goal of the theory is
to describe certain forms of arbitrage that arise over sufficiently long time
horizons.
Objective
ContentThis course presents an introduction to Stochastic Portfolio Theory, which
provides a mathematical framework for studying and exploiting empirically
observed regularities of large equity markets. A central goal of the theory is
to describe certain forms of arbitrage that arise over sufficiently long time
horizons. Since it was first introduced by Robert Fernholz almost 20 years ago,
the theory has experienced rapid developments. This course will cover the
foundations of Stochastic Portfolio Theory, including topics like relative
arbitrage, functional portfolio generation, and capital distribution curves, as
well as more recent developments.
Prerequisites / NoticePrerequisites: Familiarity with Ito calculus at the level of Brownian Motion
and Stochastic Calculus. Some background in mathematical finance is helpful.

A course with similar content was offered in HS 2015 under the title "New Trends in Stochastic Portfolio Theory".

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersM. Larsson
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
401-4912-11 VTrends in Stochastic Portfolio Theory2 hrs
Tue10-12LFW C 1 »
M. Larsson

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation