Stochastic Portfolio Theory (Paperback, Softcover reprint of the original 1st ed. 2002)

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
Country of origin:	United States
Series:	Stochastic Modelling and Applied Probability, 48
Release date:	December 2010
First published:	2002
Authors:	E.Robert Fernholz
Dimensions:	235 x 155 x 10mm (L x W x T)
Format:	Paperback
Pages:	178
Edition:	Softcover reprint of the original 1st ed. 2002
ISBN-13:	978-1-4419-2987-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General
LSN:	1-4419-2987-8
Barcode:	9781441929877

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