Authors:
Author has served as chief investment officer for INTECH, where this theory has been the basis for investment strategies for over a decade
Provides an introduction to this innovative theory and its applications
Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 48)
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Table of contents (7 chapters)
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Front Matter
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Back Matter
About this book
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.
Keywords
- Investment
- Portfolio
- Portfolio Theory
- Rating
- local time
- mathematical finance
- portfolio investment theory
- stochastic portfolio theory
Reviews
From the reviews:
MATHEMATICAL REVIEWS
"We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research."
"The monograph introduces stochastic portfolio theory, a novel mathematical framework for analyzing portfolio behavior and equity market structure, and which is intended for investment professionals and students of mathematical finance. … We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research." (Gheorghe Stoica, Mathematical Reviews, 2003 a)
"This book develops a descriptive theory of portfolios in financial markets. … It can be used as a theoretical tool to provide insight into questions of market equilibrium and arbitrage, and to construct portfolios with controlled behaviour. In practice, it can be applied to portfolio optimization and performance analysis, and the tools developed will be useful for these purposes. … it will help to understand why certain investment strategies produce certain results … ." (Martin Schweizer, Zentralblatt MATH, Vol. 1049, 2004)
Authors and Affiliations
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INTECH, Princeton, USA
E. Robert Fernholz
Bibliographic Information
Book Title: Stochastic Portfolio Theory
Authors: E. Robert Fernholz
Series Title: Stochastic Modelling and Applied Probability
DOI: https://doi.org/10.1007/978-1-4757-3699-1
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2002
Hardcover ISBN: 978-0-387-95405-9
Softcover ISBN: 978-1-4419-2987-7
eBook ISBN: 978-1-4757-3699-1
Series ISSN: 0172-4568
Series E-ISSN: 2197-439X
Edition Number: 1
Number of Pages: XIV, 178
Topics: Financial Economics, Probability Theory