Robert Fernholz, INTECH, Princeton

Stochastic Portfolio Theory
Date
Dec 2, 2003, 4:30 pm5:30 pm
Location
E219 - Engineering Quadrangle

Details

Event Description

Stochastic portfolio theory is a mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This talk is an introduction to the central concepts of the theory: the logarithmic representation for stock prices, diversity of equity markets, portfolio generating functions and the existence of arbitrage, and the use of ranked market weights for analyzing equity market structure. Various applications and open problems will be discussed.

Event Category
ORFE Department Colloquia