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Stochastic Portfolio Theory
E. Robert Fernholz
€ 120.33
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Description for Stochastic Portfolio Theory
Hardback. 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. This book provides an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Series: Stochastic Modelling and Applied Probability. Num Pages: 192 pages, biography. BIC Classification: KFFM; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 164 x 240 x 19. Weight in Grams: 436.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2002
Publisher
Springer-Verlag New York Inc. United States
Number of pages
192
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
178
Place of Publication
New York, NY, United States
ISBN
9780387954059
SKU
V9780387954059
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Stochastic Portfolio Theory
From the reviews: MATHEMATICAL REVIEWS "We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research." "The monograph introduces stochastic portfolio theory, a novel mathematical framework for analyzing portfolio behavior and equity market structure, ... Read more