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Stochastic portfolio theory /

Fernholz, Erhard Robert.

Stochastic portfolio theory /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic portfolio theory /E. Robert Fernholz.
Author:	Fernholz, Erhard Robert.
Published:	New York :Springer,c2002.
Description:	xiv, 177 p. :ill. ;25 cm.
Series:	Applications of mathematics ;
Subject:	Portfolio managementMathematical models.
Online resource:	http://www.loc.gov/catdir/toc/fy022/2001057681.html
Online resource:	http://www.loc.gov/catdir/enhancements/fy0817/2001057681-d.html
ISBN:	9780387954059 (hbk.) :

Stochastic portfolio theory /
Fernholz, Erhard Robert.

Stochastic portfolio theory /E. Robert Fernholz. - New York :Springer,c2002. - xiv, 177 p. :ill. ;25 cm. - Applications of mathematics ;48.

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

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.

ISBN: 9780387954059 (hbk.) :NT$2926

LCCN: 2001057681Subjects--Topical Terms:

198981
Portfolio management
--Mathematical models.

LC Class. No.: HG4529.5 / .F47 2002

Dewey Class. No.: 332.6/01/51923

Stochastic portfolio theory /
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020 $a 9780387954059 (hbk.) : $c NT$2926
020 $a 0387954058 (hbk.)
035 $a 2001057681
040 $a DLC $c DLC $d DLC
042 $a pcc
050 0 0 $a HG4529.5 $b .F47 2002
082 0 0 $a 332.6/01/51923 $2 21
100 1 $a Fernholz, Erhard Robert. $3 544777
245 1 0 $a Stochastic portfolio theory / $c E. Robert Fernholz.
260 $a New York : $b Springer, $c c2002.
300 $a xiv, 177 p. : $b ill. ; $c 25 cm.
440 0 $a Applications of mathematics ; $v 48
504 $a Includes bibliographical references (p. [169]-174) and index.
505 8 $a 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.
650 0 $a Portfolio management $x Mathematical models. $3 198981
650 0 $a Stochastic processes $x Mathematical models. $3 239748
856 4 1 $3 Table of contents $u http://www.loc.gov/catdir/toc/fy022/2001057681.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy0817/2001057681-d.html