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9
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0answers
188 views

Real world application of stochastic portfolio theory

There is a branche of stochastic portfolio theory (see also this question). Fernholz and Karatzas have published research in this field (e.g. "Diversity and relative arbitrage in equity markets") and ...
2
votes
2answers
65 views

Why is a risk-free portfolio desirable?

I am in the process of creating a program that generates status-quo variance-free portfolio (at least theoretically), and my question is pretty fundamental, which may just mean dumb. I am sorry if ...
5
votes
2answers
231 views

Intuitive explanation of stochastic portfolio theory

Fernholz and Karatzas have published various papers about so called stochastic portfolio theory. Basically they say that the return to be expected from a portfolio on the long run is rather the ...