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Stochastic Portfolio Theory

2013-04-17 Business & Economics
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Release : 2013-04-17
Genre : Business & Economics
Kind : eBook
Book Rating : 991/5 ( reviews)

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Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz

Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz. This book was released on 2013-04-17. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Portfolio Theory

2002-04-12 Business & Economics
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Release : 2002-04-12
Genre : Business & Economics
Kind : eBook
Book Rating : 059/5 ( reviews)

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Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz

Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz. This book was released on 2002-04-12. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Portfolio Theory

2013-03-11 Business & Economics
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Release : 2013-03-11
Genre : Business & Economics
Kind : eBook
Book Rating : 004/5 ( reviews)

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Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz

Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz. This book was released on 2013-03-11. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Optimization Models in Finance

2006 Business & Economics
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Release : 2006
Genre : Business & Economics
Kind : eBook
Book Rating : 00X/5 ( reviews)

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Book Synopsis Stochastic Optimization Models in Finance by : William T. Ziemba

Download or read book Stochastic Optimization Models in Finance written by William T. Ziemba. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.

Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension

2011
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Release : 2011
Genre :
Kind : eBook
Book Rating : 995/5 ( reviews)

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Book Synopsis Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension by : Winslow Carter Strong

Download or read book Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension written by Winslow Carter Strong. This book was released on 2011. Available in PDF, EPUB and Kindle. Book excerpt: The topic motivating this dissertation is functionally generated portfolios and their capacity to deliver relative arbitrage, an aspect of stochastic portfolio theory (SPT). The aim is to relax some of the common assumptions of SPT and explore the performance of functionally generated portfolios in this more general setting, with an eye towards arbitrage. In particular, the assumption of a constant number of companies in the market model is relaxed, as well as the assumption that all changes in capitalizations are passed on as returns to investors through the stochastic integral.

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