Matches in DBpedia 2016-04 for { ?s ?p "Stochastic portfolio theory (SPT) is a mathematical theory for analyzing stock market structure and portfolio behavior introduced by E. Robert Fernholz in 2002. It is descriptive as opposed to normative, and is consistent with the observed behavior of actual markets. Normative assumptions, which serve as a basis for earlier theories like modern portfolio theory (MPT) and the capital asset pricing model (CAPM), are absent from SPT.SPT uses continuous-time random processes (in particular, continuous semi-martingales) to represent the prices of individual securities. Processes with discontinuities, such as jumps, have also been incorporated into the theory."@en }
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- Stochastic_portfolio_theory abstract "Stochastic portfolio theory (SPT) is a mathematical theory for analyzing stock market structure and portfolio behavior introduced by E. Robert Fernholz in 2002. It is descriptive as opposed to normative, and is consistent with the observed behavior of actual markets. Normative assumptions, which serve as a basis for earlier theories like modern portfolio theory (MPT) and the capital asset pricing model (CAPM), are absent from SPT.SPT uses continuous-time random processes (in particular, continuous semi-martingales) to represent the prices of individual securities. Processes with discontinuities, such as jumps, have also been incorporated into the theory.".
- Q17163393 abstract "Stochastic portfolio theory (SPT) is a mathematical theory for analyzing stock market structure and portfolio behavior introduced by E. Robert Fernholz in 2002. It is descriptive as opposed to normative, and is consistent with the observed behavior of actual markets. Normative assumptions, which serve as a basis for earlier theories like modern portfolio theory (MPT) and the capital asset pricing model (CAPM), are absent from SPT.SPT uses continuous-time random processes (in particular, continuous semi-martingales) to represent the prices of individual securities. Processes with discontinuities, such as jumps, have also been incorporated into the theory.".