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his lecture notes summarizes standard machinery of an advanced course on Stochastic Portfolio Theory, presents … portfolios controlled behaviour. The Stochastic Portfolio theory has been applied to analysis and optimization of portfolio …
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The False Strategy theorem tells us that the optimal outcome of an unknown number of historical simulations is right-unbounded — with enough trials, there is no Sharpe ratio sufficiently enough to reject the hypothesis that a strategy is false. Given the ease with which one can use a computer...
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