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

Semester | Autumn Semester 2018 |

Lecturers | M. Larsson |

Periodicity | non-recurring course |

Language of instruction | English |

Abstract | This 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 | |

Content | This 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 / Notice | Prerequisites: 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". |