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Showing 1 to 2 of 2 for “"stochastic portfolio theory"”.
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Generalized Volatility-Stabilized Processes
… a weak solution of the underlying system of stochastic differential equations. In particular, we express the solution in terms of time-changed squared-Bessel processes and argue that this solution is unique in distribution. In addition, we also discuss sufficient conditions under which this …
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Geometry and Optimization of Relative Arbitrage
… of volatility harvesting, the idea that extra portfolio growth may be created by systematic rebalancing. First developed by E. R. Fernholz in the late 90s and the early 2000s, stochastic portfolio theory provides a novel mathematical framework to analyze this phenomenon. A major result of the …