Stochastic Modelling and Applied Probability- Stochastic Portfolio Theory
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- Engels
- Hardcover
- 9780387954059
- 12 april 2002
- 178 pagina's
Samenvatting
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.
Stochastic portfolio theory is a novel mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This new theory is descriptive as opposed to normative, and is consistent with the observed behavior and structure of actual markets. Stochastic portfolio theory is important for both academics and practitioners, for it includes theoretical results of central importance to modern mathematical finance, a well as techniques that have been successfully applied to the management of actual stock portfolios for institutional investors. Of particular interest are the logarithmic representation stock prices for portfolio optimization; portfolio generating functions and the existence of arbitrage; and the use of ranked market weight processes for analyzing equity market structure.
For academics, the book offers a fresh view of equity market structure as well as a coherent exposition of portfolio generating functions. Included are many open research problems related to these topics, some of which are probably appropriate for graduate dissertations.
For practioners, the book offers a comprehensive exposition of the logarithmic model for portfolio optimization, as well as new methods for performance analysis and asset allocation.
E. Robert Fernholz is Chief Investment Officer of INTECH, an institutional equity manager. Previously, Dr. Fernholz taught mathematics and statistics at Princeton University and the City University of New York.
Stochastic portfolio theory is a novel mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This new theory is descriptive as opposed to normative, and is consistent with the observed behavior and structure of actual markets. Stochastic portfolio theory is important for both academics and practitioners, for it includes theoretical results of central importance to modern mathematical finance, a well as techniques that have been successfully applied to the management of actual stock portfolios for institutional investors. Of particular interest are the logarithmic representation stock prices for portfolio optimization; portfolio generating functions and the existence of arbitrage; and the use of ranked market weight processes for analyzing equity market structure.
For academics, the book offers a fresh view of equity market structure as well as a coherent exposition of portfolio generating functions. Included are many open research problems related to these topics, some of which are probably appropriate for graduate dissertations.
For practioners, the book offers a comprehensive exposition of the logarithmic model for portfolio optimization, as well as new methods for performance analysis and asset allocation.
E. Robert Fernholz is Chief Investment Officer of INTECH, an institutional equity manager. Previously, Dr. Fernholz taught mathematics and statistics at Princeton University and the City University of New York.
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Inhoud
- Taal
- en
- Bindwijze
- Hardcover
- Oorspronkelijke releasedatum
- 12 april 2002
- Aantal pagina's
- 178
- Illustraties
- Nee
Betrokkenen
- Hoofdauteur
- E. Robert Fernholz
- Tweede Auteur
- Erhard Robert Fernholz
- Hoofduitgeverij
- Springer-Verlag New York Inc.
Overige kenmerken
- Editie
- 2002 ed.
- Extra groot lettertype
- Nee
- Product breedte
- 156 mm
- Product hoogte
- 16 mm
- Product lengte
- 234 mm
- Verpakking breedte
- 173 mm
- Verpakking hoogte
- 19 mm
- Verpakking lengte
- 230 mm
- Verpakkingsgewicht
- 189 g
EAN
- EAN
- 9780387954059
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