Overview
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.
Full Product Details
Author: E. Robert Fernholz
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: 2002 ed.
Volume: 48
Dimensions:
Width: 15.60cm
, Height: 1.20cm
, Length: 23.40cm
Weight: 1.000kg
ISBN: 9780387954059
ISBN 10: 0387954058
Pages: 178
Publication Date: 12 April 2002
Audience:
College/higher education
,
Professional and scholarly
,
Postgraduate, Research & Scholarly
,
Professional & Vocational
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
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)
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)
