Stochastic Portfolio Theory

1. Auflage. Softcover version of original hardcover Auflage 2002
ISBN: 978-1-4419-2987-7
Verlag: Springer

Buch, Englisch, Band 48, 178 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 306 g

Reihe: Stochastic Modelling and Applied Probability

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.
Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. On a practical level, stochastic portfolio theory has been the basis for strategies used for over a decade by the institutional equity manager INTECH, where the author has served as chief investment officer.
This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.

Zielgruppe

Research

Autoren/Hrsg.

Fernholz, E. Robert

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Stochastik

Inhaltsverzeichnis

1 Stochastic Portfolio Theory.- 2 Stock Market Behavior and Diversity.- 3 Functionally Generated Portfolios.- 4 Portfolios of Stocks Selected by Rank.- 5 Stable Models for the Distribution of Capital.- 6 Performance of Functionally Generated Portfolios.- 7 Applications of Stochastic Portfolio Theory.- Appendix A. Evaluation of Local Times.- References.

Über Autor(innen)

Fernholz, E. Robert
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.