Stochastic Portfolio Theory: an Overview Page 1 Stochastic Portfolio Theory: an Overview
ROBERT FERNHOLZ INTECH One Palmer Square Princeton, NJ 08542, USA bob@enhanced.com …

In recent years products based on? nancial derivatives have become an ind-
pensabletoolforriskmanagersandinvestors. Insuranceproductshavebecome part of almost …

We study the existence of the numéraire portfolio under predictable convex constraints in a
general semimartingale model of a financial market. The numéraire portfolio generates a …

Abstract Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior
and equity market structure. This theory was introduced by Fernholz in the papers (Journal …

Abstract Predicting the Remaining Useful Lifetime (RUL) of a system has become one of the
primary goals of engineering and reliability researchers. RUL prediction is based on the …

In this talk, the probability measure P indicates the frequency with which “the market”
believes that future states occur. We assume that this frequency is reflected in market prices …

" Quantitative Risk Management (QRM) has become a field of research of considerable
importance to numerous areas of application, including insurance, banking, energy …

In this paper distributions are identified which suitably fit log‐returns of the world stock index
when these are expressed in units of different currencies. By searching for a best fit in the …

We study a model of n non-intersecting squared Bessel processes in the confluent case: all
paths start at time t= 0 at the same positive value x= a, remain positive, and are conditioned …

This study employs several methods to simulate and construct the portfolio from stock
indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the …