Score-based diffusion models (SBDM) have recently emerged as state-of-the-art
approaches for image generation. Existing SBDMs are typically formulated in a finite …

In this paper we develop a concrete and fully implementable approach to the optimization of
functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize …

Macroscopic properties of equity markets affect the performance of active equity strategies
but many are not adequately captured by conventional models of financial mathematics and …

The relative arbitrage problem in Stochastic Portfolio Theory seeks to generate an
investment strategy that almost surely outperforms a benchmark portfolio at the end of a …

Optimization Problems in Model-Free Stochastic Portfolio Theory and Sequential Testing
Games by Steven Alexander Campbell A thes Page 1 Optimization Problems in Model-Free …

This paper studies relative arbitrage opportunities in a market with infinitely many interacting
investors. We establish a conditional McKean-Vlasov system to study the market dynamics …

The relative arbitrage portfolio introduced in Stochastic Portfolio Theory (SPT), outperforms a
benchmark portfolio over a time-horizon with probability one. Following this concept, when …