Stochastic Portfolio Theory /
Stochastic portfolio theory is a novel mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This new theory is descriptive as opposed to normative, and is consistent with the observed behavior and structure of ac...
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY :
Springer New York,
2002.
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| Series: | Applications of Mathematics, Stochastic Modelling and Applied Probability ;
48. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Stochastic Portfolio Theory
- Stock Market Behavior and Diversity
- Functionally Generated Portfolios
- Portfolios of Stocks Selected by Rank
- Stable Models for the Distribution of Capital
- Performance of Functionally Generated Portfolios
- Applications of Stochastic Portfolio Theory.