Introduction To Mathematical Portfolio Theory
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Introduction to Mathematical Portfolio Theory
Author: Mark S. Joshi
language: en
Publisher: Cambridge University Press
Release Date: 2013-07-11
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
Stochastic Portfolio Theory
Author: E. Robert Fernholz
language: en
Publisher: Springer Science & Business Media
Release Date: 2013-04-17
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.
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM
Author: Bernd Scherer
language: en
Publisher: Springer Science & Business Media
Release Date: 2007-09-05
In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.