Introduction to Stochastic Portfolio Theory and Relative Arbitrage
張明淇先生交通大學應數系 AM09:30-11:00 國立中央大學Tòa nhà Hồng Kinh M328摘要：
The stochastic portfolio theory, established by Fernholz (2002) and Fernholz (2008), develops many researches in the multi-dimensional equity markets. This talk gives an overview of the stochastic portfolio theory. Except for the fundamental setup, we also introduce the useful tool, master equation and propose the relative open problems.