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About this product
- DescriptionStochastic 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(s)E. Robert Fernholz
- PublisherSpringer-Verlag New York Inc.
- Date of Publication03/12/2010
- SubjectFinance & Accounting
- Series TitleStochastic Modelling and Applied Probability
- Series Part/Volume Number48
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Note3 black & white illustrations
- Weight283 g
- Width156 mm
- Height234 mm
- Spine10 mm
- Format DetailsTrade paperback (US)
- Edition StatementSoftcover reprint of hardcover 1st ed. 2002
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