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

Semester Autumn Semester 2015
Lecturers M. Larsson, J. Muhle-Karbe
Periodicity non-recurring course
Language of instruction English

Abstract We 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.