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Stochastic portfolio theory optimization and the origin of rule-based investing

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  • Gianluca Oderda

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  • Gianluca Oderda, 2015. "Stochastic portfolio theory optimization and the origin of rule-based investing," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1259-1266, August.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:8:p:1259-1266
    DOI: 10.1080/14697688.2015.1012840
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/4688 is not listed on IDEAS
    2. Robert D. Arnott & Jason Hsu & Philip Moore, 2005. "Fundamental Indexation," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(2), pages 83-99, March.
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    Cited by:

    1. Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and Growth Optimal Portfolio," Papers 1706.06832, arXiv.org.
    2. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
    3. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Jul 2018.
    4. Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll, 2020. "Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target," Papers 2006.15384, arXiv.org.
    5. Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
    6. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 268-294, May.
    7. van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.

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