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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. 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. 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 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. 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. 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.
| Erscheinungsjahr: | 2002 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 196 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xiv
178 S. 3 s/w Illustr. 38 s/w Zeichng. |
| ISBN-13: | 9780387954059 |
| ISBN-10: | 0387954058 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: | Fernholz, E. Robert |
| Auflage: | 2002 |
| Hersteller: |
Springer New York
Springer US, New York, N.Y. Stochastic Modelling and Applied Probability |
| Maße: | 241 x 160 x 17 mm |
| Von/Mit: | E. Robert Fernholz |
| Erscheinungsdatum: | 12.04.2002 |
| Gewicht: | 0,465 kg |
| Erscheinungsjahr: | 2002 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 196 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xiv
178 S. 3 s/w Illustr. 38 s/w Zeichng. |
| ISBN-13: | 9780387954059 |
| ISBN-10: | 0387954058 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: | Fernholz, E. Robert |
| Auflage: | 2002 |
| Hersteller: |
Springer New York
Springer US, New York, N.Y. Stochastic Modelling and Applied Probability |
| Maße: | 241 x 160 x 17 mm |
| Von/Mit: | E. Robert Fernholz |
| Erscheinungsdatum: | 12.04.2002 |
| Gewicht: | 0,465 kg |
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