Stochastic Portfolio Theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
2002
|
| Schriftenreihe: | Applications of Mathematics, Stochastic Modelling And Applied Probability
48 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XIV, 178 p) |
| ISBN: | 9781475736991 9781441929877 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-1-4757-3699-1 |
Internformat
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Datensatz im Suchindex
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| author | Fernholz, E. Robert |
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4757-3699-1 |
| format | Electronic eBook |
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| id | DE-604.BV042421513 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:09Z |
| institution | BVB |
| isbn | 9781475736991 9781441929877 |
| issn | 0172-4568 |
| language | English |
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| series2 | Applications of Mathematics, Stochastic Modelling And Applied Probability |
| spelling | Fernholz, E. Robert Verfasser aut Stochastic Portfolio Theory by E. Robert Fernholz New York, NY Springer New York 2002 1 Online-Ressource (XIV, 178 p) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics, Stochastic Modelling And Applied Probability 48 0172-4568 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 Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Stochastisches Modell (DE-588)4057633-4 s 1\p DE-604 https://doi.org/10.1007/978-1-4757-3699-1 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Fernholz, E. Robert Stochastic Portfolio Theory Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Portfolio Selection (DE-588)4046834-3 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4057633-4 |
| title | Stochastic Portfolio Theory |
| title_auth | Stochastic Portfolio Theory |
| title_exact_search | Stochastic Portfolio Theory |
| title_full | Stochastic Portfolio Theory by E. Robert Fernholz |
| title_fullStr | Stochastic Portfolio Theory by E. Robert Fernholz |
| title_full_unstemmed | Stochastic Portfolio Theory by E. Robert Fernholz |
| title_short | Stochastic Portfolio Theory |
| title_sort | stochastic portfolio theory |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Portfolio Selection (DE-588)4046834-3 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Portfolio Selection Stochastisches Modell |
| url | https://doi.org/10.1007/978-1-4757-3699-1 |
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