Stochastic portfolio theory / E. Robert Fernholz.

Format:

Book

Author/Creator:

Fernholz, Erhard Robert.

Contributor:

Sabin W. Colton, Jr., Memorial Fund.

Series:

Applications of mathematics ; 48.

Applications of mathematics ; 48

Language:

English

Subjects (All):

Portfolio management--Mathematical models.

Portfolio management.

Stochastic processes--Mathematical models.

Stochastic processes.

Physical Description:

xiv, 177 pages : illustrations ; 25 cm.

Place of Publication:

New York : Springer, 2002.

Summary:

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. On a practical level, stochastic portfolio theory has been the basis for strategies used for over a decade by the institutional equity manager INTECH, where the author has served as chief investment officer. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance.

Notes:

Includes bibliographical references (pages [169]-174) and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the Sabin W. Colton, Jr., Memorial Fund.

ISBN:

0387954058

OCLC:

48858498