Stochastic portfolio theory:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Springer
2002
|
| Series: | Applications of mathematics
48 |
| Subjects: | |
| Online Access: | Table of contents Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 169 - 174 |
| Physical Description: | XIV, 177 S. |
| ISBN: | 0387954058 |
Staff View
MARC
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| 100 | 1 | |a Fernholz, Erhard Robert |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic portfolio theory |c E. Robert Fernholz |
| 264 | 1 | |a New York [u.a.] |b Springer |c 2002 | |
| 300 | |a XIV, 177 S. | ||
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| 490 | 1 | |a Applications of mathematics |v 48 | |
| 500 | |a Literaturverz. S. 169 - 174 | ||
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| 650 | 4 | |a Portfolio management -- Mathematical models | |
| 650 | 4 | |a Stochastic processes -- Mathematical models | |
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Record in the Search Index
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| adam_text | Contents
1 Stochastic Portfolio Theory 1
1.1 Stocks and Portfolios 2
1.2 Relative Return and the Market Portfolio 13
1.3 Portfolio Behavior and Optimization 16
1.4 Notes and Summary 2 Stock Market Behavior and Diversity 25
2.1 The Long Term Behavior of the Market 26
2.2 Stock Market Diversity S1
2.3 Entropy as a Measure of Market Diversity #
2.4 Notes and Summary 3 Functionally Generated Portfolios 43
3.1 Portfolio Generating Functions ^
3.2 Time Dopendent Generating Functions ™
3.3 The No Arbitrage Hypothesis ^
3.4 Measures of Diversity ^
3.5 Notes and Summary 4 Portfolios of Stocks Selected by Rank 69
4.1 Rank Processes and Local Times
xii Contents
4.2 Portfolios Generated by Functions of Ranked
Market Weights 79
4.3 Examples of Rank Dependent Portfolios 85
4.4 Notes and Summary 90
5 Stable Models for the Distribution of Capital 93
5.1 The Capital Distribution Curve 93
5.2 dX(t) = asgn(X(t))dt + adW(t) 96
5.3 The Structure of Stable Capital Distributions 98
5.4 Application to the U.S. Equity Market 106
5.5 A First Order Market Model 110
5.6 Notes and Summary 115
6 Performance of Functionally Generated Portfolios 119
6.1 Market Entropy 120
6.2 A Diversity Weighted Portfolio 125
6.3 Turnover in a Diversity Weighted Portfolio 129
6.4 The Size Effect 133
6.5 The Biggest Stock 136
6.6 Notes and Summary 140
7 Applications of Stochastic Portfolio Theory 143
7.1 Optimization and the First Order Model 143
7.2 Diversity Weighted Indexing 146
7.3 Manager Performance and Change in Diversity 151
7.4 The Distributional Component of Equity Return 153
7.5 Measurement of the Distributional Component 155
7.6 An Analysis of Value Stocks 160
7.7 Notes and Summary 162
Appendix A. Evaluation of Local Times 165
References 169
Index 175
List of Figures
4.1 Capital distribution for the S P 500 Index 70
5.1 Capital distribution curves: 1929 1999 95
5.2 Alog^)_logM(fc+l)(i),fe= 10.20.40 5120 107
5.3 log jU(fc) versus log k, average value 1990 to 1999 108
5.4 Smoothed annualized values of gk for k = 1 5119 109
5.5 Smoothed annualized values of o ^.k+l for A = 1 5119. . . . 109
5.6 Envelopes of the capital distribution curves 114
5.7 Change in market entropy for the first order model 114
6.1 log(Zn{t)/Zl,{t)) for the entropy weighted portfolio 122
6.2 Change in market entropy 122
6.3 Drift process for the entropy weighted portfolio 123
6.4 Dividends and leakage for the entropy weighted portfolio. . . . 123
6.5 Diversity of CRSP universe using D,,. p — 0.5 121
6.6 log(Z^(f)/Z£(0) for the D,, weighted portfolio 127
6.7 Change in D(, for the largest 1000 stocks, p 0.5 127
6.8 Drift process for the D,, veighted portfolio 12S
6.9 Dividends and leakage for the D,, wcightod portfolio 12*
6.10 log(Z,,(/)/Z£(0) for the small/largo portfolios 131
6.11 Relative capitalization of the small/large portfolios 131
6.12 Drift process for the small/large portfolios 135
6.13 Dividends and leakage for the small/large port folios 135
6.14 Relative logarithmic return for the biggest stock 13 s
xiv List of Figures
6.15 Change in the market weight of the biggest stock 138
6.16 Drift process for the biggest stock 139
6.17 Dividends and leakage for the biggest stock 139
7.1 Diversity weights and capitalization weights 147
7.2 Relative return of the diversity weighted S P 500 Index. ... 148
7.3 Change in Dp for the S P 500 Index 148
7.4 Drift process for the diversity weighted index 149
7.5 Dividends and leakage for the diversity weighted index 149
7.6 Relative manager performance vs. change in Dp 152
7.7 Relative return of the simulated portfolio 158
7.8 Distributional component for the simulated portfolio 158
7.9 Residual component for the simulated portfolio 159
7.10 Regression estimates of size component 159
7.11 Relative return of the S P/Barra Value Index 161
7.12 Distributional component for S P/Barra Value Index 161
7.13 Residual component for S P/Barra Value Index 162
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| dewey-search | 332.6/01/51923 21 |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T19:02:22Z |
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| isbn | 0387954058 |
| language | English |
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| physical | XIV, 177 S. |
| publishDate | 2002 |
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| series | Applications of mathematics |
| series2 | Applications of mathematics |
| spelling | Fernholz, Erhard Robert Verfasser aut Stochastic portfolio theory E. Robert Fernholz New York [u.a.] Springer 2002 XIV, 177 S. txt rdacontent n rdamedia nc rdacarrier Applications of mathematics 48 Literaturverz. S. 169 - 174 Mathematisches Modell Portfolio management -- Mathematical models Stochastic processes -- Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Applications of mathematics 48 (DE-604)BV000895226 48 http://www.loc.gov/catdir/toc/fy022/2001057681.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009853123&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fernholz, Erhard Robert Stochastic portfolio theory Applications of mathematics Mathematisches Modell Portfolio management -- Mathematical models Stochastic processes -- Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4046834-3 |
| title | Stochastic portfolio theory |
| title_auth | Stochastic portfolio theory |
| title_exact_search | Stochastic portfolio theory |
| title_full | Stochastic portfolio theory E. Robert Fernholz |
| title_fullStr | Stochastic portfolio theory E. Robert Fernholz |
| title_full_unstemmed | Stochastic portfolio theory E. Robert Fernholz |
| title_short | Stochastic portfolio theory |
| title_sort | stochastic portfolio theory |
| topic | Mathematisches Modell Portfolio management -- Mathematical models Stochastic processes -- Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Mathematisches Modell Portfolio management -- Mathematical models Stochastic processes -- Mathematical models Stochastisches Modell Portfolio Selection |
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