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Portfolio Management based on the Stochastic Portfolio Theory
The stochastic portfolio theory developed by Robert Fernholz is a mathematical framework used to build portfolios and analyze their behavior as well as the securities market structure. This new theory is consistent with market behavior. Portfolio generating functions are the focus area for the internship as they constitute versatile tools to build portfolios with specific properties.
Faculty Supervisor:
Dr. François Watier
Student:
Miruna Minea-Burga
Partner:
Desjardins Gestion internationale d'actifs
Discipline:
Mathematics
Sector:
Finance, insurance and business
University:
Université du Québec à Montréal
Program:
Accelerate
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