Stochastic Portfolio Theory

  • E. Robert Fernholz
Chapter
Part of the Applications of Mathematics book series (SMAP, volume 48)

Abstract

In this chapter we introduce the basic definitions for stocks and portfolios, and prove preliminary results that are used throughout the later chapters. The mathematical definitions and notation that we use can be found in Karatzas and Shreve (1991), and the model for continuous stock prices can be found in, e.g., Karatzas (1997), Karatzas and Shreve (1998), and Duffle (1992). The definitions, notation, and stock price model are all fairly standard in current mathematical finance, and we make a number of fairly standard assumptions to simplify the presentation.

Keywords

Portfolio Optimization Local Martingale Market Portfolio Short Sale Logarithmic Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • E. Robert Fernholz
    • 1
  1. 1.INTECHPrincetonUSA

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