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.

Intern: 
Louis-Philippe Joly
Faculty Supervisor: 
Dr. Chantal Labbé and Dr. Bruno Rémillard
Province: 
Quebec
Discipline: 
Program: