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 ...
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 ...
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 ...