Stochastic Portfolio Theory / Stochastic Modelling and Applied Probability Bd.48 (PDF)
(Sprache: Englisch)
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...
sofort als Download lieferbar
eBook (pdf)
96.29 €
48 DeutschlandCard Punkte sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Stochastic Portfolio Theory / Stochastic Modelling and Applied Probability Bd.48 (PDF)“
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.
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.
Bibliographische Angaben
- Autor: E. Robert Fernholz
- 2013, 2002, 178 Seiten, Englisch
- Verlag: Springer US
- ISBN-10: 1475736991
- ISBN-13: 9781475736991
- Erscheinungsdatum: 17.04.2013
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 16 MB
- Mit Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Stochastic Portfolio Theory / Stochastic Modelling and Applied Probability Bd.48"
0 Gebrauchte Artikel zu „Stochastic Portfolio Theory / Stochastic Modelling and Applied Probability Bd.48“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Stochastic Portfolio Theory / Stochastic Modelling and Applied Probability Bd.48".
Kommentar verfassen