Stochastic portfolio theory (SPT) is a mathematical theory for analyzing stock market structure and portfolio behavior introduced by E. Robert Fernholz...

mean-variance efficient portfolios Portfolio theory, for the formulas Risk parity / Tail risk parity Stochastic portfolio theory Universal portfolio algorithm, giving...

pricing theory (APT) Approaches Behavioral portfolio theory Stochastic portfolio theory Chance-constrained portfolio selection Maslowian portfolio theory Dedicated...

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return...

could be added and would lead to a portfolio containing bonds of different maturities. Some authors have added a stochastic volatility model of stock market...

station, Australia Stockport railway station (station code) Stochastic portfolio theory Super Powered Tracer, in anime Blue Comet SPT Layzner Substantial...

Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations...

post-modern portfolio theory (PMPT) is an extension of the traditional modern portfolio theory (MPT) of Markowitz and Sharpe. Both theories provide analytical...

A stochastic simulation is a simulation of a system that has variables that can change stochastically (randomly) with individual probabilities. Realizations...

Expected utility theory Kelly criterion Lexicographic preferences Loss aversion Portfolio optimization Post modern portfolio theory Roy's safety-first...

The concept of the stochastic discount factor (SDF) is used in financial economics and mathematical finance. The name derives from the price of an asset...

options and guarantees can require complex nested stochastic calculations. Replicating portfolios can be set up to replicate such options and guarantees...

W_{0}} and let the stochastic portfolio return in any period (the imperfectly predictable amount that the average dollar in the portfolio grows or shrinks...

In financial mathematics, a self-financing portfolio is a portfolio having the feature that, if there is no exogenous infusion or withdrawal of money,...

continuous-time Q-processes are Itô's stochastic calculus, simulation and partial differential equations (PDEs). Risk and portfolio management aims to model the...

mathematical optimization, stochastic programming is a framework for modeling optimization problems that involve uncertainty. A stochastic program is an optimization...

Stochastic dominance is a partial order between random variables. It is a form of stochastic ordering. The concept arises in decision theory and decision...

in this new direction, in 1982 he published the paper "Stochastic Portfolio Theory and Stochastic Market Equilibrium", which was the basis for his investment...

investing, Post-modern portfolio theory, Financial economics § Portfolio theory. In 1965, Paul Samuelson introduced stochastic calculus into the study...

In portfolio theory, a mutual fund separation theorem, mutual fund theorem, or separation theorem is a theorem stating that, under certain conditions,...

§ Application: Ruin theory Chance-constrained portfolio selection Embrechts, P.; Klüppelberg, C.; Mikosch, T. (1997). "1 Risk Theory". Modelling Extremal...

"Copula Theory and Its Applications" Lecture Notes in Statistics, Springer. ISBN 978-3-642-12464-8 A reference for sampling applications and stochastic models...

the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule. It can be heuristically...

applied; here deriving a Pareto efficient portfolio. The universal portfolio algorithm applies information theory to asset selection, learning adaptively...

one-million-dollar) portfolio is placed in asset X and the fraction 1 − q {\displaystyle 1-q} is placed in Y, the stochastic portfolio return is q x + (...

Modigliani and Harry Markowitz. He has been the editor of the Journal of Portfolio Management since 1986 and is on the board of directors of the BlackRock...

Parameter uncertainty and estimation errors are a large topic in portfolio theory. An approach to counteract the unknown risk is to invest less than...

analyzing bandit problems. Greedy algorithm Optimal stopping Search theory Stochastic scheduling Auer, P.; Cesa-Bianchi, N.; Fischer, P. (2002). "Finite-time...

k × 1 random vector of error terms. Gallager, Robert G. (2013). Stochastic Processes Theory for Applications. Cambridge University Press. ISBN 978-1-107-03975-9...

price - so called market clearing. These models are born out of modern portfolio theory, with the capital asset pricing model (CAPM) as the prototypical result...