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Stochastic Portfolio Theory on Hardback by E.Robert Fernholz
Stochastic Portfolio Theory on Hardback by E.Robert Fernholz
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Description

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.
Release date NZ
April 12th, 2002
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
Illustrations
XIV, 178 p.
Pages
178
Dimensions
156x234x12
ISBN-13
9780387954059
Product ID
2434607

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