2015/04/12 by Alexander Vervuurt, Vervuurt, Alexander
Decision Sciences · Economics, Econometrics and Finance · #60-02 #91-01 #FOS: Economics and business #FOS: Mathematics #Housing Market and Economics #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1504.02988
openalex publication_date 2015/04/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numerical Analysis Vol.15:89-167, 2009).