Prof. Ioannis KARATZAS (Columbia University, New York)
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.
- E.R. FERNHOLZ and I. KARATZAS (2009) Stochastic Portfolio Theory: an overview.in: A Bensoussan & Q Zhang (eds): Hanbdoo k of Numerical Analysis: Special Volume on Mathematical Modeling in Finance, Elsevier, pages 89-168.
- E.R. FERNHOLZ, I. KARATZAS & C. KARDARAS (2005) Diversity and arbitrage in financial markets. Finance & Stochastics 9, 1-27.
- A. BANNER, E.R. FERNHOLZ & I. KARATZAS (2005) Atlas models of equity markets. Annals of Applied Probability 15, 2296-2330.
- E.R. FERNHOLZ & I. KARATZAS (2005) Relative arbitrage in volatility-stabilized markets. Annals of Finance 1, 149-177.
- T. ICHIBA, V. PAPATHANAKOS, A. BANNER, I. KARATZAS & E.R. FERNHOLZ (2011) Hybrid Atlas Models. Annals of Applied Probability 21, 609-644.