About this book
For academics, the book offers a fresh view of equity market structure as well as a coherent exposition of portfolio generating functions. Included are many open research problems related to these topics, some of which are probably appropriate for graduate dissertations.
For practioners, the book offers a comprehensive exposition of the logarithmic model for portfolio optimization, as well as new methods for performance analysis and asset allocation.
E. Robert Fernholz is Chief Investment Officer of INTECH, an institutional equity manager. Previously, Dr. Fernholz taught mathematics and statistics at Princeton University and the City University of New York.
- Book Title Stochastic Portfolio Theory
- Series Title Applications of Mathematics
- DOI https://doi.org/10.1007/978-1-4757-3699-1
- Copyright Information Springer-Verlag New York 2002
- Publisher Name Springer, New York, NY
- eBook Packages Springer Book Archive
- Hardcover ISBN 978-0-387-95405-9
- Softcover ISBN 978-1-4419-2987-7
- eBook ISBN 978-1-4757-3699-1
- Series ISSN 0172-4568
- Edition Number 1
- Number of Pages XIV, 178
- Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
Probability Theory and Stochastic Processes
- Buy this book on publisher's site
From the reviews:
"We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research."
"The monograph introduces stochastic portfolio theory, a novel mathematical framework for analyzing portfolio behavior and equity market structure, and which is intended for investment professionals and students of mathematical finance. … We recommend this monograph to all researchers and graduate students in mathematical finance; it is easy to read, self-contained, not boring at all, and with lots of ideas for further research." (Gheorghe Stoica, Mathematical Reviews, 2003 a)
"This book develops a descriptive theory of portfolios in financial markets. … It can be used as a theoretical tool to provide insight into questions of market equilibrium and arbitrage, and to construct portfolios with controlled behaviour. In practice, it can be applied to portfolio optimization and performance analysis, and the tools developed will be useful for these purposes. … it will help to understand why certain investment strategies produce certain results … ." (Martin Schweizer, Zentralblatt MATH, Vol. 1049, 2004)