Stochastic Portfolio Theory

  • E. Robert Fernholz

Part of the Applications of Mathematics book series (SMAP, volume 48)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. E. Robert Fernholz
    Pages 1-24
  3. E. Robert Fernholz
    Pages 25-42
  4. E. Robert Fernholz
    Pages 43-67
  5. E. Robert Fernholz
    Pages 69-92
  6. E. Robert Fernholz
    Pages 93-118
  7. E. Robert Fernholz
    Pages 119-142
  8. E. Robert Fernholz
    Pages 143-164
  9. Back Matter
    Pages 165-178

About this book


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 actual markets. Stochastic portfolio theory is important for both academics and practitioners, for it includes theoretical results of central importance to modern mathematical finance, a well as techniques that have been successfully applied to the management of actual stock portfolios for institutional investors. Of particular interest are the logarithmic representation stock prices for portfolio optimization; portfolio generating functions and the existence of arbitrage; and the use of ranked market weight processes for analyzing equity market structure.
For academics, the book offers a fresh view of equity market structure as well as a coherent exposition of portfolio generating functions. Included are many open research problems related to these topics, some of which are probably appropriate for graduate dissertations.
For practioners, the book offers a comprehensive exposition of the logarithmic model for portfolio optimization, as well as new methods for performance analysis and asset allocation.
E. Robert Fernholz is Chief Investment Officer of INTECH, an institutional equity manager. Previously, Dr. Fernholz taught mathematics and statistics at Princeton University and the City University of New York.


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Authors and affiliations

  • E. Robert Fernholz
    • 1
  1. 1.INTECHPrincetonUSA

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag New York 2002
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-2987-7
  • Online ISBN 978-1-4757-3699-1
  • Series Print ISSN 0172-4568
  • Buy this book on publisher's site