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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