英文标题：
《Portfolio Optimization in the Stochastic Portfolio Theory Framework》
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作者：
Vassilios Papathanakos
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最新提交年份：
2016
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英文摘要：
I discuss some theoretical results with a view to motivate some practical choices in portfolio optimization. Even though the setting is not completely general (for example, the covariance matrix is assumed to be non-singular), I attempt to highlight the features that have practical relevance. The mathematical setting is Stochastic Portfolio Theory, which is flexible enough to describe most realistic assets, and it has been successfully employed for managing equity portfolios since 1987.
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中文摘要：
我讨论了一些理论结果，以期激发投资组合优化中的一些实际选择。尽管设置并不完全通用（例如，协方差矩阵被假定为非奇异），但我试图强调具有实际相关性的特征。数学背景是随机投资组合理论，它足够灵活，可以描述最现实的资产，自1987年以来，它已成功地用于管理股票投资组合。
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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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