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Search: subject:"Stochastic portfolio theory"
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Portfolio selection
19
Portfolio-Management
19
Theorie
17
Theory
17
Stochastic portfolio theory
13
Stochastic process
13
Stochastischer Prozess
13
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7
Stochastic Portfolio Theory
6
stochastic portfolio theory
4
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3
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3
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2
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Active portfolio management
1
Analysis
1
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English
19
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Karatzas, Ioannis
5
Fernholz, Robert
3
Kim, Donghan
3
Ichiba, Tomoyuki
2
Jourdain, Benjamin
2
Picková, Radka
2
Reygner, Julien
2
Ruf, Johannes
2
Sarantsev, Andrey
2
Wong, Ting-Kam Leonard
2
Xie, Kangjianan
2
Agapova, Anna
1
Al-Aradi, Ali
1
Allan, Andrew L.
1
Bayraktar, Erhan
1
Campbell, Steven
1
Cuchiero, Christa
1
Ferguson, Robert
1
Fernholz, Ricardo T.
1
Itkin, David
1
Jaimungal, Sebastian
1
Larsson, Martin
1
Leistikow, Dean
1
Liu, Chong
1
Maré, Eben
1
Prömel, David Johannes
1
Song, Qien
1
Taljaard, B. H.
1
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Annals of finance
8
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3
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Applied mathematical finance
2
Quantitative finance
2
The European journal of finance
1
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ECONIS (ZBW)
19
RePEc
4
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1
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10
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23
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1
Model-free portfolio theory : a rough path approach
Allan, Andrew L.
;
Cuchiero, Christa
;
Liu, Chong
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 709-765
Persistent link: https://www.econbiz.de/10014329902
Saved in:
2
Macroscopic properties of equity markets : stylized facts and portfolio performance
Campbell, Steven
;
Song, Qien
;
Wong, Ting-Kam Leonard
- In:
Quantitative finance
25
(
2025
)
9
,
pp. 1375-1397
Persistent link: https://www.econbiz.de/10015534197
Saved in:
3
Quantifying dimensional change in
stochastic
portfolio
theory
Bayraktar, Erhan
;
Kim, Donghan
;
Tilva, Abhishek
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 977-1021
Persistent link: https://www.econbiz.de/10014565288
Saved in:
4
Market-to-book ratio in
stochastic
portfolio
theory
Kim, Donghan
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 401-434
Persistent link: https://www.econbiz.de/10014253650
Saved in:
5
Robust asymptotic growth in
stochastic
portfolio
theory
under long-only constraints
Itkin, David
;
Larsson, Martin
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 114-171
Persistent link: https://www.econbiz.de/10012815950
Saved in:
6
Permutation-weighted portfolios and the efficiency of commodity futures markets
Fernholz, Ricardo T.
;
Fernholz, Robert
- In:
Annals of finance
18
(
2022
)
1
,
pp. 81-108
Persistent link: https://www.econbiz.de/10013194634
Saved in:
7
Why has the equal weight portfolio underperformed and what can we do about it?
Taljaard, B. H.
;
Maré, Eben
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1855-1868
Persistent link: https://www.econbiz.de/10012696784
Saved in:
8
Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis
;
Kim, Donghan
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
Saved in:
9
Leakage of rank-dependent functionally generated trading strategies
Xie, Kangjianan
- In:
Annals of finance
16
(
2020
)
4
,
pp. 573-591
Persistent link: https://www.econbiz.de/10012496438
Saved in:
10
Stochastic
portfolio
theory
and the low beta anomaly
Agapova, Anna
;
Ferguson, Robert
;
Leistikow, Dean
- In:
The European journal of finance
25
(
2019
)
5
,
pp. 415-434
Persistent link: https://www.econbiz.de/10012206986
Saved in:
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