Mathematical Finance Seminar
April 3, 2003 , 5:30 PM to 7:00 PM
Robert Fernholtz, INTECH Asset Management
Stochastic Portfolio Theory
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. A
number of open problems will be discussed.