Stochastic Portfolio Theory PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Stochastic Portfolio Theory PDF full book. Access full book title Stochastic Portfolio Theory by E. Robert Fernholz. Download full books in PDF and EPUB format.
Author: E. Robert Fernholz
Publisher: Springer Science & Business Media
ISBN: 1475736991
Category : Business & Economics
Languages : en
Pages : 190
Get Book Here
Book Description
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. 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.
Author: E. Robert Fernholz
Publisher: Springer Science & Business Media
ISBN: 1475736991
Category : Business & Economics
Languages : en
Pages : 190
Get Book Here
Book Description
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. 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.
Author: E. Robert Fernholz
Publisher: Springer Science & Business Media
ISBN: 9780387954059
Category : Business & Economics
Languages : en
Pages : 228
Get Book Here
Book Description
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. 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.
Author: E. Robert Fernholz
Publisher: Springer
ISBN: 9781475737004
Category : Business & Economics
Languages : en
Pages : 178
Get Book Here
Book Description
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. 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.
Author: William T. Ziemba
Publisher: World Scientific
ISBN: 981256800X
Category : Business & Economics
Languages : en
Pages : 756
Get Book Here
Book Description
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
Author: Ralf Korn
Publisher: World Scientific
ISBN: 9812385347
Category : Business & Economics
Languages : en
Pages : 352
Get Book Here
Book Description
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Author: Svetlozar T. Rachev
Publisher: Wiley
ISBN: 9780470053164
Category : Business & Economics
Languages : en
Pages : 0
Get Book Here
Book Description
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Author: Mark S. Joshi
Publisher: Cambridge University Press
ISBN: 1107042313
Category : Business & Economics
Languages : en
Pages : 327
Get Book Here
Book Description
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9810236050
Category : Business & Economics
Languages : en
Pages : 852
Get Book Here
Book Description
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Author: Jack Clark Francis
Publisher: John Wiley & Sons
ISBN: 1118417208
Category : Business & Economics
Languages : en
Pages : 576
Get Book Here
Book Description
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Author: Fred Espen Benth
Publisher: Springer Science & Business Media
ISBN: 3642187862
Category : Business & Economics
Languages : en
Pages : 172
Get Book Here
Book Description
This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
