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

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Stochastic Modelling and Applied Probabilityhttp://image.papertrans.cn/s/image/878093.jpg

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https://doi.org/10.1007/978-1-4757-3699-1Investment; Portfolio; Portfolio Theory; Rating; local time; mathematical finance; portfolio investment th

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E. Robert FernholzAuthor has served as chief investment officer for INTECH, where this theory has been the basis for investment strategies for over a decade.Provides an introduction to this innovative theory and its ap

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Stochastic Portfolio Theory978-1-4757-3699-1Series ISSN 0172-4568 Series E-ISSN 2197-439X

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Functionally Generated Portfolios,range of functions can be used to generate portfolios, and for functionally generated portfolios, a decomposition of the relative return analogous to that of the entropy-weighted portfolio in Theorem 2.3.4 remains valid. Theorem 2.3.4 is a prototype for the general results we present here.