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.


基本信息

• 出版社: Springer-Verlag New York Inc.; 2002 (2002年4月12日)
• 丛书名: Stochastic Modelling and Applied Probability
• 精装: 192页
• 语种： 英语
• ISBN: 0387954058
• 条形码: 9780387954059
• 商品尺寸: 15.6 x 1.4 x 23.4 cm
• 商品重量: 390 g
• ASIN: 0387954058