Topics in Stochastic Portfolio Theory: Pathwise Generation of Trading Strategies, and Portfolio Theory in Open Markets
This thesis generalizes stochastic portfolio theory in two different aspects. The first part demonstrates the functional generation of portfolios in a pathwise way. This notion of functional generation of portfolios was first introduced by E.R. Fernholz, to construct a variety of portfolios solely i...
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| Language: | English |
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2020
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| Online Access: | https://doi.org/10.7916/d8-n1dc-m051 |