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AuthorFernholz, E. Robert. author
TitleStochastic Portfolio Theory [electronic resource] / by E. Robert Fernholz
ImprintNew York, NY : Springer New York : Imprint: Springer, 2002
Connect tohttp://dx.doi.org/10.1007/978-1-4757-3699-1
Descript XIV, 178 p. online resource

SUMMARY

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


CONTENT

1 Stochastic Portfolio Theory -- 2 Stock Market Behavior and Diversity -- 3 Functionally Generated Portfolios -- 4 Portfolios of Stocks Selected by Rank -- 5 Stable Models for the Distribution of Capital -- 6 Performance of Functionally Generated Portfolios -- 7 Applications of Stochastic Portfolio Theory -- Appendix A. Evaluation of Local Times -- References


Finance Probabilities Finance Finance general Probability Theory and Stochastic Processes



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