Titlebook: Stochastic Portfolio Theory; E. Robert Fernholz Textbook 2002 Springer Science+Business Media New York 2002 Investment.Portfolio.Portfolio

LURE

coalition

dura-mater

整潔

Stochastic Portfolio Theory,found in, e.g., Karatzas (1997), Karatzas and Shreve (1998), and Duffle (1992). The definitions, notation, and stock price model are all fairly standard in current mathematical finance, and we make a number of fairly standard assumptions to simplify the presentation.

燈泡

Stochastic Portfolio Theory,s. The mathematical definitions and notation that we use can be found in Karatzas and Shreve (1991), and the model for continuous stock prices can be found in, e.g., Karatzas (1997), Karatzas and Shreve (1998), and Duffle (1992). The definitions, notation, and stock price model are all fairly standa

Magnificent

interpose

Accede

烤架

Performance of Functionally Generated Portfolios,e the entropy-weighted portfolio of Definition 2.3.3, the ..-weighted portfolio of Examples 3.4.4 and 4.3.5, and the large-stock and small-stock portfolios from Example 4.3.2. We also look at the relative performance of the biggest stock in the market, discussed in Example 4.3.1.

剝皮