Stochastic portfolio theory
Author(s)
Bibliographic Information
Stochastic portfolio theory
（Applications of mathematics, 48）
Springer, c2002
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Note
Bibliography: p. [169]-174
Includes index
Description and Table of Contents
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.
Table of Contents
Stochastic Portfolio Theory * Stock Market Diversity * Portfolio Generating Functions * Functions of Ranked Market Weights * Stable Model for the Distribution of Capital * Behavior of Functionally-Generated Portfolios * Applications of Stochastic Portfolio Theory
by "Nielsen BookData"