scholarly journals Portfolio Optimization in the Stochastic Portfolio Theory Framework

2016 ◽  
Author(s):  
Vassilios Papathanakos
Keyword(s):  
Portfolio Optimization ◽  
Portfolio Theory ◽  
Stochastic Portfolio Theory ◽  
Theory Framework

Stochastic portfolio theory and the low beta anomaly

2018 ◽  
Vol 25 (5) ◽  
pp. 415-434
Author(s):  
Anna Agapova ◽  
Robert Ferguson ◽  
Dean Leistikow
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory

scholarly journals A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs

2018 ◽  
Vol 12 (1) ◽  
pp. 4 ◽  
Author(s):  
Giorgio Arici ◽  
Marco Dalai ◽  
Riccardo Leonardi ◽  
Arnaldo Spalvieri
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Matched Filter ◽  
Portfolio Theory ◽  
Portfolio Allocation ◽  
Short Sales ◽  
Modern Portfolio Theory ◽  
Filter Theory ◽  
Short Sale ◽  
Unified Method

Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not considered in Markowitz’s seminal work from 1952. The drawback of such theories is that they complicate considerably the simplicity of the original technique. Here, we propose a simple and unified method, which takes inspiration from, and shows connections with the matched filter theory in communications, to evaluate the best portfolio allocation with the possibility of including a leverage factor and short sales. Finally, we extend the presented method to also consider the transaction costs.

Stochastic Portfolio Theory and the Low Beta Anomaly

2018 ◽  
Author(s):  
Anna Agapova ◽  
Robert Ferguson ◽  
Dean Leistikow
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory

scholarly journals Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

2018 ◽  
Vol 29 (3) ◽  
pp. 773-803 ◽  
Author(s):  
Christa Cuchiero ◽  
Walter Schachermayer ◽  
Ting‐Kam Leonard Wong
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory ◽  
Numéraire Portfolio ◽  
Universal Portfolio ◽  
Numeraire Portfolio
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