Stochastic Portfolio Theory

2002
ISBN: 978-0-387-95405-9
Verlag: Springer

Buch, Englisch, Band 48, 178 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 1000 g

Reihe: Stochastic Modelling and Applied Probability

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.

Zielgruppe

Research

Autoren/Hrsg.

Fernholz, E. Robert

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

1 Stochastic Portfolio Theory.- 2 Stock Market Behavior and Diversity.- 3 Functionally Generated Portfolios.- 4 Portfolios of Stocks Selected by Rank.- 5 Stable Models for the Distribution of Capital.- 6 Performance of Functionally Generated Portfolios.- 7 Applications of Stochastic Portfolio Theory.- Appendix A. Evaluation of Local Times.- References.