Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension

Download or read book Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension written by Winslow Carter Strong and published by . This book was released on 2011 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topic motivating this dissertation is functionally generated portfolios and their capacity to deliver relative arbitrage, an aspect of stochastic portfolio theory (SPT). The aim is to relax some of the common assumptions of SPT and explore the performance of functionally generated portfolios in this more general setting, with an eye towards arbitrage. In particular, the assumption of a constant number of companies in the market model is relaxed, as well as the assumption that all changes in capitalizations are passed on as returns to investors through the stochastic integral.