Stochastic Portfolio Theory by E. Robert Fernholz

Full Title: Stochastic Portfolio Theory
Author/Editor(s): Erhard Robert Fernholz
ISBN: 0387954058, 9780387954059
Publisher: Springer
Published Place: New York
Published/Copyright Year: 2002
Language: English
Physical Description: Illustrations included, 25 cm
LCCN: 2001057681
Series: Applications Of Mathematics ( Volume 48 )
Number of pages: 177 (xiv, 177 pages)
Portfolio Management > Mathematical Models
Stochastic Processes > Mathematical Models

Machine generated contents note: 1 Stochastic Portfolio Theory 1
1.1 Stocks and Portfolios2
1.2 Relative Return and the Market Portfolio13
1.3 Portfolio Behavior and Optimization16
1.4 Notes and Summary22
2 Stock Market Behavior and Diversity 25
2.1 The Long-Term Behavior of the Market26
2.2 Stock Market Diversity31
2.3 Entropy as a Measure of Market Diversity36
2.4 Notes and Summary41
3 Functionally Generated Portfolios 43
3.1 Portfolio Generating Functions43
3.2 Time-Dependent Generating Functions55
3.3 The No-Arbitrage Hypothesis57
3.4 Measures of Diversity62
3.5 Notes and Summary65
4 Portfolios of Stocks Selected by Rank 69
4.1 Rank Processes and Local Times71
4.2 Portfolios Generated by Functions of Ranked
Market Weights79
4.3 Examples of Rank-Dependent Portfolios85
4.4 Notes and Summary90
5 Stable Models for the Distribution of Capital 93
5.1 The Capital Distribution Curve93
5.2 dX(t) = -asgn(X(t))dt +dW(t)96
5.3 The Structure of Stable Capital Distributions98
5.4 Application to the U.S. Equity Market106
5.5 A "First-Order" Market Model110
5.6 Notes and Summary115
6 Performance of Functionally Generated Portfolios 119
6.1 Market Entropy120
6.2 A Diversity-Weighted Portfolio125
6.3 Turnover in a Diversity-Weighted Portfolio129
6.4 The Size Effect133
6.5 The Biggest Stock136
6.6 Notes and Summary140
7 Applications of Stochastic Portfolio Theory 143
7.1 Optimization and the First-Order Model143
7.2 Diversity-Weighted Indexing146
7.3 Manager Performance and Change in Diversity151
7.4 The Distributional Component of Equity Return153
7.5 Measurement of the Distributional Component155
7.6 An Analysis of Value Stocks160
7.7 Notes and Summary162.

Includes bibliographical references (p. [169]-174) and index.

Electronic Resources:
Table of contents
Publisher description

ISBNPlus ID: LOC.V36.182945-1-641679
Nature: Bibliographies
Form: Nonfiction
LC Call No: HG4529.5 .F47 2002
Dewey Decimal: 332.6/01/51923
Released Date: 20080307

Download BiBTeX of this book (.bib)
 title={Stochastic Portfolio Theory},
 author={Erhard Robert Fernholz},
 series={Applications Of Mathematics},
 address={New York}
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%0 Book
%T Stochastic Portfolio Theory
%A Erhard Robert Fernholz
%@ 9780387954059
%D 2002
%I Springer
%C New York
Download 9780387954059.enw
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T1  - Stochastic Portfolio Theory
A1  - Erhard Robert Fernholz
SN  - 9780387954059
T3  - Applications Of Mathematics
UR  -
Y1  - 2002
PB  - Springer
CY  - New York
ER  - 
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APA Style:
Fernholz, E.R. (2002). Stochastic Portfolio Theory. New York: Springer.

MLA Style:
Fernholz, Erhard Robert. Stochastic Portfolio Theory. New York: Springer, 2002. Print.

Chicago Style:
Fernholz, Erhard Robert. Stochastic Portfolio Theory. New York: Springer, 2002.