An algebraic theory of portfolio allocation

An Evolutionary Portfolio Theory

The purpose of this paper is to suggest a new theory of portfolio selection which is based on evolutionary reasoning in simple repeated market situations. According to this new point of view the ultimate success of a portfolio strategy is measured by the wealth share the strategy is eventually able to conquer in an evolutionary process of market selection. We identify a simple portfolio strateg...

An algebraic approach to integer portfolio problems

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of d...

An algebraic approach to Integer Portfolio problems

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of d...

An Introduction to Portfolio Theory

Stochastic Portfolio Theory: an Overview

Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by E.R. Fernholz in the papers (Journal of Mathematical Economics, 1999; Finance & Stochastics, 2001) and in the monograph Stochastic Portfolio Theory (Springer 2002). It was further developed in the papers Fernholz, Karatzas & Kardaras (Finance & Stochast...