Non-stochastic portfolio theory
arXiv:1712.09108
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.
16 pages, 1 figure; Working Paper 51 at http://probabilityandfinance.com