Lectures on Stochastic Portfolio Theory (Sept 15-17 2014)



These lectures survey the foundations and recent developments of Stochastic Portfolio Theory (SPT), introduced by E.R. Fernholz in the 1990’s, is a rich and flexible framework for analyzing portfolio behavior and equity market structure. It has been further  developed at vigorous clip since then.  As a theoretical tool, the framework of SPT offers fresh insights into questions of  market structure and arbitrage, and can be used to construct portfolios with controlled behavior. As a practical tool, it has been applied to the analysis and optimization of portfolio performance and has been the basis of successful investment strategies.