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

SemesterAutumn Semester 2015
LecturersM. Larsson, J. Muhle-Karbe
Periodicitynon-recurring course
Language of instructionEnglish

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.