Stochastic Portfolio Theory (Hardcover, 2002 ed.)

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.

General

Imprint:	Springer-Verlag New York Inc.
Country of origin:	United States
Series:	Stochastic Modeling and Applied Probability Series
Release date:	April 2002
First published:	2002
Authors:	E.Robert Fernholz
Dimensions:	240 x 161 x 16mm (L x W x T)
Format:	Hardcover
Pages:	177
Edition:	2002 ed.
ISBN-13:	978-0-387-95405-9
Categories:	Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	0-387-95405-8
Barcode:	9780387954059

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