Stochastic Portfolio Theory

Fernholz E. Robert

ISBN 10: 1441929878 / ISBN 13: 9781441929877

Verlag: Springer, 2010

Print on Demand pp. 196 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Bestandsnummer des Verkäufers 5859412

Inhaltsangabe:

Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance.

Von der hinteren Coverseite: Stochastic portfolio theory is a novel mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This new theory is descriptive as opposed to normative, and is consistent with the observed behavior and structure of actual markets. Stochastic portfolio theory is important for both academics and practitioners, for it includes theoretical results of central importance to modern mathematical finance, a well as techniques that have been successfully applied to the management of actual stock portfolios for institutional investors. Of particular interest are the logarithmic representation stock prices for portfolio optimization; portfolio generating functions and the existence of arbitrage; and the use of ranked market weight processes for analyzing equity market structure.
For academics, the book offers a fresh view of equity market structure as well as a coherent exposition of portfolio generating functions. Included are many open research problems related to these topics, some of which are probably appropriate for graduate dissertations.
For practioners, the book offers a comprehensive exposition of the logarithmic model for portfolio optimization, as well as new methods for performance analysis and asset allocation.
E. Robert Fernholz is Chief Investment Officer of INTECH, an institutional equity manager. Previously, Dr. Fernholz taught mathematics and statistics at Princeton University and the City University of New York.

Bibliografische Details

Titel: Stochastic Portfolio Theory
Verlag: Springer
Erscheinungsdatum: 2010
Einband: Softcover
Zustand: New