401-4912-11L  New Trends in Stochastic Portfolio Theory

SemesterSpring Semester 2011
LecturersJ. Muhle-Karbe, J. Teichmann
Periodicitynon-recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4912-11 VNew Trends in Stochastic Portfolio Theory3 hrs
Wed15:15-18:00HG F 5 »
01.06.15:15-17:00HG F 5 »
J. Muhle-Karbe, J. Teichmann

Catalogue data

AbstractWe present an introduction into stochastic portfolio theory following the recent work of Bob Fernholz and Ioannis Karatzas. Stochastic Portfolio theory is based on diffusion models which allow for certain forms of arbitrage related to econometric facts on (ranked) capital distribution curves.
Objective

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersJ. Teichmann, J. Muhle-Karbe
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.

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Offered in

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