Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 1 of 1 for “"volatility harvesting"”.
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Geometry and Optimization of Relative Arbitrage
This thesis is devoted to the mathematics 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 …