Stochastic Portfolio Theory

AvE. Robert Fernholz

Inbunden, Engelska, 2002

Del 48 i serien Stochastic Modelling and Applied Probability

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2002-04-12
Mått:156 x 234 x 17 mm
Vikt:465 g
Format:Inbunden
Språk:Engelska
Serie:Stochastic Modelling and Applied Probability
Antal sidor:178
Upplaga:2002
Förlag:Springer-Verlag New York Inc.
ISBN:9780387954059

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From the reviews: MATHEMATICAL REVIEWS "We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research." "The monograph introduces stochastic portfolio theory, a novel mathematical framework for analyzing portfolio behavior and equity market structure, and which is intended for investment professionals and students of mathematical finance. ... We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research." (Gheorghe Stoica, Mathematical Reviews, 2003 a) "This book develops a descriptive theory of portfolios in financial markets. ... It can be used as a theoretical tool to provide insight into questions of market equilibrium and arbitrage, and to construct portfolios with controlled behaviour. In practice, it can be applied to portfolio optimization and performance analysis, and the tools developed will be useful for these purposes. ... it will help to understand why certain investment strategies produce certain results ... ." (Martin Schweizer, Zentralblatt MATH, Vol. 1049, 2004)

Innehållsförteckning

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.