Stochastic Portfolio Theory
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Stochastic Portfolio Theory
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Author : E. Robert Fernholz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Stochastic Portfolio Theory written by E. Robert Fernholz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
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. On a practical level, stochastic portfolio theory has been the basis for strategies used for over a decade by the institutional equity manager INTECH, where the author has served as chief investment officer. 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.
Mathematical Modelling And Numerical Methods In Finance
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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field
Portfolio Theory And Arbitrage A Course In Mathematical Finance
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Author : Ioannis Karatzas
language : en
Publisher: American Mathematical Soc.
Release Date : 2021-09-20
Portfolio Theory And Arbitrage A Course In Mathematical Finance written by Ioannis Karatzas and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-20 with Education categories.
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.
Stochastic Portfolio Theory Vs Modern Portfolio Theory And The Implications For The Capital Asset Pricing Model
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Author : Robert Ferguson
language : en
Publisher:
Release Date : 2013
Stochastic Portfolio Theory Vs Modern Portfolio Theory And The Implications For The Capital Asset Pricing Model written by Robert Ferguson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper contrasts the perspectives provided by the traditional Modern Portfolio Theory (MPT) analysis, which uses arithmetic returns, and the Stochastic Portfolio Theory (SPT) analysis, which uses continuous returns. The MPT analysis implies that an efficient portfolio's reward is proportional to its risk and that its information ratio is independent of its risk. The SPT analysis implies that an efficient portfolio's reward is not proportional to its risk, first rising with risk and then declining with risk, and that its information ratio declines as its risk increases. The analysis also has implications for the Capital Asset Pricing Model (CAPM). According to the MPT analysis, a stock's expected excess return is equal to its beta times the market's expected excess return. The SPT analysis shows that a stock's expected excess arithmetic return is equal to its beta times the market's expected excess arithmetic return plus one-half the market's variance of return times the excess of the stock's beta over 1. Compared to the MPT version of CAPM, the SPT version of CAPM shows that high beta stocks offer more expected excess arithmetic return and low beta stocks offer less expected excess arithmetic return.
Portfolio Optimization In The Stochastic Portfolio Theory Framework
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Author : Vassilios Papathanakos
language : en
Publisher:
Release Date : 2019
Portfolio Optimization In The Stochastic Portfolio Theory Framework written by Vassilios Papathanakos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
I discuss some theoretical results with a view to motivate some practical choices in portfolio optimization. Even though the setting is not completely general (for example, the covariance matrix is assumed to be non-singular), I attempt to highlight the features that have practical relevance. The mathematical setting is Stochastic Portfolio Theory, which is flexible enough to describe most realistic assets, and it has been successfully employed for managing equity portfolios since 1987.
Functionally Generated Portfolios In Stochastic Portfolio Theory
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Author : Kangjianan Xie
language : en
Publisher:
Release Date : 2020
Functionally Generated Portfolios In Stochastic Portfolio Theory written by Kangjianan Xie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In this dissertation, we focus on constructing trading strategies through the method of functional generation. Such a construction is of great importance in Stochastic Portfolio Theory established by Robert Fernholz. This method is simplified by Karatzas and Ruf (Finance and Stochastics 21.3:753-787, 2017), where they also propose another method called additive functional generation. Inspired by their work, we first investigate the dependence of functional generation on an extra finite-variation process. A mollification argument and Komlós theorem yield a general class of potential arbitrage strategies. Secondly, we extend the analysis by incorporating transaction costs proportional to the trading volume. The performance of several portfolios in the presence of dividends and transaction costs is examined under different configurations. Next, we analyse the so-called leakage effect used to measure the loss in portfolio wealth due to renewing the portfolio constituents. Moreover, we further explore the method of additive functional generation by considering the conjugate of a portfolio generating function. The connection between functional generation and optimal transport is also studied. An extended abstract can be found before the first chapter of this dissertation.
Portfolio Theory And Management
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Author : H. Kent Baker
language : en
Publisher: Oxford University Press, USA
Release Date : 2013-03-07
Portfolio Theory And Management written by H. Kent Baker and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-07 with Business & Economics categories.
Portfolio Theory and Management examines the foundations of portfolio management with the contributions of financial pioneers up to the latest trends. The book discusses portfolio theory and management both before and after the 2007-2008 financial crisis. It takes a global focus by highlighting cross-country differences and practices.
Modern Portfolio Theory
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-18
Modern Portfolio Theory written by Jack Clark Francis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-18 with Business & Economics categories.
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.
Advanced Stochastic Portfolio Theory In Mathematical Finance
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Author : Silke Prohl
language : en
Publisher:
Release Date : 2018
Advanced Stochastic Portfolio Theory In Mathematical Finance written by Silke Prohl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
His lecture notes summarizes standard machinery of an advanced course on Stochastic Portfolio Theory, presents techniques for analysis of portfolio dynamics and equity market structure. This notes is based on material developed in a series of papers published in recent years by Prof. Ioannis Karatzas and his lectures regularly given at Columbia University in the city of New York.It gives introduction to a number of questions of market structure and arbitrage, used to construct portfolios controlled behaviour. The Stochastic Portfolio theory has been applied to analysis and optimization of portfolio performance and denotes a benchmark portfolio performance and successful investment strategies.
Ben Graham Was A Quant
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Author : Steven P. Greiner
language : en
Publisher: John Wiley & Sons
Release Date : 2011-04-05
Ben Graham Was A Quant written by Steven P. Greiner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-05 with Business & Economics categories.
Innovative insights on creating models that will help you become a disciplined intelligent investor The pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come "hell or high water" which, in his view, was one of the most important aspects of investing. So, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective, then to invest using algorithms or the quantitative method? This is exactly what Ben Graham Was a Quant will show you how to do. Opening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting "Graham" stocks, demonstrate how to test these factors, and discuss how to combine them into a quantitative model. Reveals how to create custom screens based on Ben Graham's methods for security selection Addresses what it takes to find those factors most influential in forecasting stock returns Explores how to design models based on other styles and international strategies If you want to become a better investor, you need solid insights and the proper guidance. With Ben Graham Was a Quant, you'll receive this and much more, as you learn how to create quantitative models that follow in the footsteps of Graham's value philosophy.