Stochastic Portfolio Theory

E. Robert Fernholz

178 pages, parution le 28/05/2002

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Résumé

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.

Contents

Stochastic Portfolio Theory.
Stock Market Behaviour and Diversity.
Functionally Generated Portfolios.
Portfolios of Stocks Selected by Rank
Stable Model for the Distribution of Capital.
Performances of Functionally Generated Portfolios.
Applications of Stochastic Portfolio Theory.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	E. Robert Fernholz
Parution	28/05/2002
Nb. de pages	178
Format	16 x 24
Couverture	Relié
Poids	393g
Intérieur	Noir et Blanc
EAN13	9780387954059
ISBN13	978-0-387-95405-9