2017/12/25 by Vladimir Vovk, Vovk, Vladimir
Decision Sciences · Economics, Econometrics and Finance · #60G44 (Secondary) #91G10 (Primary) 60G05 #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1712.09108
openalex publication_date 2017/12/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies a non-stochastic version of Fernholz's stochastic portfolio theory for a simple model of stock markets with continuous price paths. It establishes non-stochastic versions of the most basic results of stochastic portfolio theory and discusses connections with Stroock-Varadhan martingales.