Stochastic Portfolio Theory

Name: Stochastic Portfolio Theory
Brand: Springer-Verlag New York Inc.
SKU: 9780387954059
Price: 85.08 EUR
Availability: InStock

Автор: Erhard R. Fernholz

Език:

Корици: С твърди корици

Издател: Springer-Verlag New York Inc.

Наличност: Външен склад в ограничено количество

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85.08 € 166.41 лв

Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for...

Информация за книгата

Автор

Erhard R. Fernholz

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2002

страници

178

EAN

9780387954059

ISBN

0387954058

Enbook ID

01384391

Издател

Springer-Verlag New York Inc.

Теглоt

436

Размери

240 x 164 x 19

Пълно описание

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. 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.

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Пълно описание

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