2 papers
q-fin.PM2016
Stochastic Portfolio Theory: A Machine Learning Perspective
Yves-Laurent Kom Samo, Alexander Vervuurt
In this paper we propose a novel application of Gaussian processes (GPs) to financial asset allocation. Our approach is deeply rooted in Stochastic Portfolio Theory (SPT), a stocha…
q-fin.MF2015
Topics in Stochastic Portfolio Theory
Alexander Vervuurt
This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numeric…