英文标题：
《Model-free portfolio theory and its functional master formula》
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作者：
Alexander Schied, Leo Speiser, and Iryna Voloshchenko
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最新提交年份：
2018
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英文摘要：
We use pathwise It\\^o calculus to prove two strictly pathwise versions of the master formula in Fernholz\' stochastic portfolio theory. Our first version is set within the framework of F\\\"ollmer\'s pathwise It\\^o calculus and works for portfolios generated from functions that may depend on the current states of the market portfolio and an additional path of finite variation. The second version is formulated within the functional pathwise It\\^o calculus of Dupire (2009) and Cont \\& Fourni\\\'e (2010) and allows for portfolio-generating functionals that may depend additionally on the entire path of the market portfolio. Our results are illustrated by several examples and shown to work on empirical market data.
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中文摘要：
我们使用路径It o演算证明了Fernholz随机投资组合理论中主公式的两个严格路径版本。我们的第一个版本是在F“ollmer的pathwise It”o演算的框架内制定的，适用于由函数生成的投资组合，这些函数可能取决于市场投资组合的当前状态和有限变化的额外路径。第二个版本是在Dupire（2009）和Cont&Fourni（2010）的函数pathwise It”o演算中制定的并允许生成可能额外依赖于市场投资组合的整个路径的投资组合函数。我们的结果通过几个例子加以说明，并在经验市场数据上得到证明。
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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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