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Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portf

Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portf

Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portf

A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford,

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by