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. On a practical level, stochastic portfolio ...
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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. 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.
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Add this copy of Stochastic Portfolio Theory to cart. $93.00, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2010 by Springer-Verlag New York Inc..
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Add this copy of Stochastic Portfolio Theory to cart. $13.11, good condition, Sold by ThriftBooks-Reno rated 4.0 out of 5 stars, ships from Reno, NV, UNITED STATES, published 2002 by Springer.
