Stochastic Portfolio Theory PDF Download
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| Author | : E. Robert Fernholz |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 190 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 1475736991 |
Download Stochastic Portfolio Theory Book in PDF, ePub and Kindle
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 |
| Total Pages | : 228 |
| Release | : 2002-04-12 |
| Genre | : Business & Economics |
| ISBN | : 9780387954059 |
Download Stochastic Portfolio Theory Book in PDF, ePub and Kindle
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 |
| Total Pages | : 178 |
| Release | : 2013-03-11 |
| Genre | : Business & Economics |
| ISBN | : 9781475737004 |
Download Stochastic Portfolio Theory Book in PDF, ePub and Kindle
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 | : Ioannis Karatzas |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 309 |
| Release | : 2021-08-12 |
| Genre | : Education |
| ISBN | : 1470460149 |
Download Portfolio Theory and Arbitrage: A Course in Mathematical Finance Book in PDF, ePub and Kindle
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.
| Author | : William T. Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 756 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 981256800X |
Download Stochastic Optimization Models in Finance Book in PDF, ePub and Kindle
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 | : Mark S. Joshi |
| Publisher | : Cambridge University Press |
| Total Pages | : 327 |
| Release | : 2013-07-11 |
| Genre | : Business & Economics |
| ISBN | : 1107042313 |
Download Introduction to Mathematical Portfolio Theory Book in PDF, ePub and Kindle
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
| Author | : Jack Clark Francis |
| Publisher | : John Wiley & Sons |
| Total Pages | : 576 |
| Release | : 2013-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1118417208 |
Download Modern Portfolio Theory Book in PDF, ePub and Kindle
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 | : Haim Levy |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 439 |
| Release | : 2006-08-25 |
| Genre | : Business & Economics |
| ISBN | : 0387293116 |
Download Stochastic Dominance Book in PDF, ePub and Kindle
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
| Author | : Svetlozar T. Rachev |
| Publisher | : Wiley |
| Total Pages | : 0 |
| Release | : 2008-02-25 |
| Genre | : Business & Economics |
| ISBN | : 9780470053164 |
Download Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization Book in PDF, ePub and Kindle
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 | : Jean-Luc Prigent |
| Publisher | : CRC Press |
| Total Pages | : 451 |
| Release | : 2007-05-07 |
| Genre | : Business & Economics |
| ISBN | : 142001093X |
Download Portfolio Optimization and Performance Analysis Book in PDF, ePub and Kindle
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont
