英文标题：
《Optimization of relative arbitrage》
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作者：
Ting-Kam Leonard Wong
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最新提交年份：
2014
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英文摘要：
In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market or a buy-and-hold portfolio, functionally generated portfolios introduced by Fernholz provide a systematic way of constructing relative arbitrages. In this paper we show that if the market portfolio is replaced by the equal or entropy weighted portfolio among many others, no relative arbitrages can be constructed under the same conditions using functionally generated portfolios. We also introduce and study a shaped-constrained optimization problem for functionally generated portfolios in the spirit of maximum likelihood estimation of a log-concave density.
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中文摘要：
在随机投资组合理论中，相对套利是一种股票投资组合，保证在有限的时间内表现优于基准投资组合。当市场多样化且波动性足够大，且基准是市场或买入并持有投资组合时，Fernholz引入的功能生成投资组合提供了构建相对套利的系统方法。在本文中，我们证明了如果市场投资组合被等权或熵权投资组合所取代，那么在相同条件下，利用函数生成的投资组合就不能构造相对套利。我们还引入并研究了一个基于对数凹密度极大似然估计的函数生成投资组合形状约束优化问题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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