Stochastic Portfolio Theory (Stochastic Modelling and Applied Probability (48))
Language: English
Published by Springer, 2002
- First Edition
- Hardcover
- Used
Seller: Corner of a Foreign Field, Tokyo, TOKYO, JapanCorner of a Foreign Field
AbeBooks seller since September 15, 2015
Condition: Used - Very good
£ 38.93
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Add to basketItem description from seller
2002.Hardcover.Very good condition.177 pages.Ships from Japan.Usually ships in 1-2 working days.
Seller Inventory # 15991
- Title
- Stochastic Portfolio Theory (Stochastic Modelling and Applied Probability (48))
- Author
- Fernholz, E. Robert
- Publisher
- Springer
- Publication year
- 2002
- Condition
- Very Good
- Dust jacket
- No Jacket
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0387954058
- ISBN 13
- 9780387954059
- Edition
- 1st Edition
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.
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
Corner of a Foreign Field
Tokyo, TOKYO, Japan
AbeBooks seller since September 15, 2015
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Corner of a Foreign Field
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