Stochastic Portfolio Theory: Generalized Master Equation
張明淇博士交通大學應數系 上午 10:00–10:50 鴻經館 M328室摘要：
The master equation is one of the popular tools to explore the relative arbitrage opportunities in the literature of the stochastic portfolio theory. However, the traditional master equation only depends on the state of the market portfolio. E.R. Fernholz(2002) extended the master equation in two aspects. One is also related to the time and the other needs the ranks of the market portfolio. This talk will introduce the two extended master equation and the related works.