Non-stochastic portfolio theory

Vladimir Vovk

Papers from arXiv.org

Abstract: This paper studies a non-stochastic version of Fernholz's stochastic portfolio theory for a simple model of stock markets with continuous price paths. It establishes non-stochastic versions of the most basic results of stochastic portfolio theory and discusses connections with Stroock-Varadhan martingales.

Date: 2017-12, Revised 2018-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1712.09108

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