Stochastic Modelling and Applied Probability

Stochastic Portfolio Theory

Authors: Fernholz, E. Robert

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-1-4757-3699-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $115.00
price for USA
  • ISBN 978-0-387-95405-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $115.00
price for USA
  • ISBN 978-1-4419-2987-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

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)

 


Table of contents (7 chapters)

  • Stochastic Portfolio Theory

    Fernholz, E. Robert

    Pages 1-24

  • Stock Market Behavior and Diversity

    Fernholz, E. Robert

    Pages 25-42

  • Functionally Generated Portfolios

    Fernholz, E. Robert

    Pages 43-67

  • Portfolios of Stocks Selected by Rank

    Fernholz, E. Robert

    Pages 69-92

  • Stable Models for the Distribution of Capital

    Fernholz, E. Robert

    Pages 93-118

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-1-4757-3699-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $115.00
price for USA
  • ISBN 978-0-387-95405-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $115.00
price for USA
  • ISBN 978-1-4419-2987-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Stochastic Portfolio Theory
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
48
Copyright
2002
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4757-3699-1
DOI
10.1007/978-1-4757-3699-1
Hardcover ISBN
978-0-387-95405-9
Softcover ISBN
978-1-4419-2987-7
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XIV, 178
Topics