Stochastic Portfolio Theory  - Fernholz, E. Robert

Stochastic Portfolio Theory

E. Robert Fernholz

Yayınevi: Springer

Yayın tarihi: 12/2010

ISBN: 9781441929877

İngilizce | 196 Sayfa | 15,39x23,01x1,19 cm.

Tür: Matematik-İstatistik

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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. 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.

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