401-4912-11L Trends in Stochastic Portfolio Theory
| Semester | Autumn Semester 2018 |
| Lecturers | M. Larsson |
| Periodicity | non-recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | ||||
|---|---|---|---|---|---|---|---|
| 401-4912-11 V | Trends in Stochastic Portfolio Theory | 2 hrs |
| M. Larsson |
Catalogue data
| Abstract | This course presents an introduction to Stochastic Portfolio Theory, which provides a mathematical framework for studying and exploiting empirically observed regularities of large equity markets. A central goal of the theory is to describe certain forms of arbitrage that arise over sufficiently long time horizons. |
| Learning objective | |
| Content | This course presents an introduction to Stochastic Portfolio Theory, which provides a mathematical framework for studying and exploiting empirically observed regularities of large equity markets. A central goal of the theory is to describe certain forms of arbitrage that arise over sufficiently long time horizons. Since it was first introduced by Robert Fernholz almost 20 years ago, the theory has experienced rapid developments. This course will cover the foundations of Stochastic Portfolio Theory, including topics like relative arbitrage, functional portfolio generation, and capital distribution curves, as well as more recent developments. |
| Prerequisites / Notice | Prerequisites: Familiarity with Ito calculus at the level of Brownian Motion and Stochastic Calculus. Some background in mathematical finance is helpful. A course with similar content was offered in HS 2015 under the title "New Trends in Stochastic Portfolio Theory". |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | M. Larsson |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
| Mode of examination | oral 20 minutes |
| This information can be updated until the beginning of the semester; information on the examination timetable is binding. | |
Learning materials
| No public learning materials available. | |
| Only public learning materials are listed. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
Offered in
| Programme | Section | Type | |
|---|---|---|---|
| Mathematics Master | Selection: Financial and Insurance Mathematics | W |  |
| Quantitative Finance Master | Mathematical Methods for Finance | W | |