Andrey Sarantsev: Stochastic portfolio theory and stock market valuation

Andrey Sarantsev


Stochastic Portfolio Theory and Stock Market Valuation


Andrey Sarantsev, Ph.D.


Mathematics & Statistics

Bio sketch

Andrey Sarantsev received his Ph.D. in Mathematics in 2015 from the University of Washington, Seattle. Prior to joining the faculty at the University of Nevada, Reno, he was a visiting assistant professor at the Department of Statistics and Applied Probability, University of California, Santa Barbara.

Project overview

Modeling stock portfolio returns is a central problem in Quantitative Finance. Buy low and sell high is a universal rule, but it can be hard to implement in practice. We study dependence of future returns upon classic indicators such as earnings, dividends, and interest rates using recent market data. We incorporate this into a new area called Stochastic Portfolio Theory, which beats the market by overweighing small stocks and continuous rebalancing of your portfolio. Research involves data collection and preparation, coding in R or Python, and theoretical analysis.