Statistics seminar - Emeritus Professor Eckhard Platen - UTS

A seminar by Emeritus Professor Eckhard Platen from UTS

Title: Information-Theoretic Model for the Growth Optimal Portfolio of Stocks

Abstract: Drawing on information-theoretic principles and empirical evidence, a proxy for the growth-optimal stock portfolio (the benchmark) is constructed and modelled. The derivative of its activity time captures overreactions in trading behaviour and follows a fast-moving, quasi-stationary scalar diffusion. The benchmark's log-returns are predicted to follow a Student t distribution with degrees of freedom slightly less than four, and this prediction is tested empirically. With the benchmark as numeraire, the derived model enables benchmark-neutral pricing and hedging.

Joint work with Kevin Fergusson

For further information, please contact RSFAS Seminars.

All information collected by the University is governed by the ANU Privacy Policy.