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Stochastic Portfolio Theory

by Erhard Robert Fernholz

  • ISBN: 9780387954059
  • ISBN10: 0387954058

Stochastic Portfolio Theory

by Erhard Robert Fernholz

  • Binding: Hardcover
  • Publisher: Springer Verlag
  • Publish date: 05/01/2002
  • ISBN: 9780387954059
  • ISBN10: 0387954058
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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. 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.
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Sewn binding. Cloth over boards. 178 p. Contains: Unspecified. Stochastic Modelling and Applied Probability, 48.
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Print on demand Sewn binding. Cloth over boards. 178 p. Contains: Unspecified. Stochastic Modelling and Applied Probability, 48.
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