Stochastic Portfolio Theory Applications

Mainly developed by Robert Fernholz, the stochastic portfolio theory is a framework used to analyze market structure, evaluate and optimize portfolio performance and build portfolios with controlled behavior. The internship aims at implementing and testing various asset allocations developed within the framework of the stochastic portfolio theory in order to supply Desjardins Gestion internationale d’actifs with new tools in its search for efficient investment strategies.

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.