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- 5/1/09
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Hi,
Can anyone kindly tell me what is the difference between Robert Fernholz's Stochastic Portfolio Theory(Optimization) and Monte Carlo Portfolio Optimization?
See: www.math.columbia.edu/~ik/FernKarSPT.pdf
I would love to get my hands on an implementation of these in Excel(or a programming language)
. Any hints on where to look for this?
Thanks,
Dave
Can anyone kindly tell me what is the difference between Robert Fernholz's Stochastic Portfolio Theory(Optimization) and Monte Carlo Portfolio Optimization?
See: www.math.columbia.edu/~ik/FernKarSPT.pdf
I would love to get my hands on an implementation of these in Excel(or a programming language)
. Any hints on where to look for this?Thanks,
Dave