Stochastic Portfolio Theory 2002 Edition Contributor(s): Fernholz, E. Robert (Author) |
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ISBN: 0387954058 ISBN-13: 9780387954059 Publisher: Springer OUR PRICE: $94.99 Product Type: Hardcover - Other Formats Published: April 2002 Annotation: Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. 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. |
Additional Information |
BISAC Categories: - Mathematics | Probability & Statistics - General - Business & Economics | Investments & Securities - General - Business & Economics | Finance - General |
Dewey: 332.601 |
LCCN: 2001057681 |
Series: Stochastic Modelling and Applied Probability |
Physical Information: 0.56" H x 6.8" W x 9.06" (0.86 lbs) 178 pages |