Stochastic Portfolio Theory
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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 |
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 | : William T. Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 756 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 981256800X |
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 | : Ralf Korn |
| Publisher | : World Scientific |
| Total Pages | : 352 |
| Release | : 1997 |
| Genre | : Business & Economics |
| ISBN | : 9812385347 |
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
| Author | : Svetlozar T. Rachev |
| Publisher | : Wiley |
| Total Pages | : 0 |
| Release | : 2008-02-25 |
| Genre | : Business & Economics |
| ISBN | : 9780470053164 |
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 | : Albert N. Shiryaev |
| Publisher | : World Scientific |
| Total Pages | : 852 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9810236050 |
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
| Author | : Mark S. Joshi |
| Publisher | : Cambridge University Press |
| Total Pages | : 327 |
| Release | : 2013-07-11 |
| Genre | : Business & Economics |
| ISBN | : 1107042313 |
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
| Author | : Fred Espen Benth |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 172 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642187862 |
This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
| Author | : Thomas Pistorius |
| Publisher | : Springer |
| Total Pages | : 265 |
| Release | : 2017-08-24 |
| Genre | : Business & Economics |
| ISBN | : 3319550055 |
This book combines the study of rhetoric, history, philosophy, philosophy of statistics and the culture of investing to discuss the foundations of stochastical predictability in investment theory. Besides discussing the problem of stochastical prediction, the book also covers alternative investment theories. Ideas from uncertainty economics, expressed by the likes of Keynes, Knight, von Mises, Taleb and McCloskey are also discussed. This book will be of interest to researchers and academics in the field of investment theory, as well as investment practitioners.
| Author | : Haim Levy |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 439 |
| Release | : 2006-08-25 |
| Genre | : Business & Economics |
| ISBN | : 0387293116 |
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 | : Jack Clark Francis |
| Publisher | : John Wiley & Sons |
| Total Pages | : 576 |
| Release | : 2013-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1118417208 |
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.
