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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.".
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- Stochastic_portfolio_theory wikiPageLength "24275".
- Stochastic_portfolio_theory wikiPageOutDegree "34".
- Stochastic_portfolio_theory wikiPageRevisionID "666441189".
- Stochastic_portfolio_theory wikiPageWikiLink Arbitrage.
- Stochastic_portfolio_theory wikiPageWikiLink Asset.
- Stochastic_portfolio_theory wikiPageWikiLink Bessel_process.
- Stochastic_portfolio_theory wikiPageWikiLink Brownian_motion.
- Stochastic_portfolio_theory wikiPageWikiLink Capital_asset_pricing_model.
- Stochastic_portfolio_theory wikiPageWikiLink Category:Finance_theories.
- Stochastic_portfolio_theory wikiPageWikiLink Category:Mathematical_theorems.
- Stochastic_portfolio_theory wikiPageWikiLink Convergence_of_random_variables.
- Stochastic_portfolio_theory wikiPageWikiLink Covariance.
- Stochastic_portfolio_theory wikiPageWikiLink Covariance_matrix.
- Stochastic_portfolio_theory wikiPageWikiLink Exponential_growth.
- Stochastic_portfolio_theory wikiPageWikiLink Genetic_drift.
- Stochastic_portfolio_theory wikiPageWikiLink Geometric_Brownian_motion.
- Stochastic_portfolio_theory wikiPageWikiLink Itô_calculus.
- Stochastic_portfolio_theory wikiPageWikiLink Law_of_large_numbers.
- Stochastic_portfolio_theory wikiPageWikiLink Martingale_(probability_theory).
- Stochastic_portfolio_theory wikiPageWikiLink Modern_portfolio_theory.
- Stochastic_portfolio_theory wikiPageWikiLink Numéraire.
- Stochastic_portfolio_theory wikiPageWikiLink Portfolio_(finance).
- Stochastic_portfolio_theory wikiPageWikiLink Progressively_measurable_process.
- Stochastic_portfolio_theory wikiPageWikiLink Quadratic_programming.
- Stochastic_portfolio_theory wikiPageWikiLink Risk-neutral_measure.
- Stochastic_portfolio_theory wikiPageWikiLink Semimartingale.
- Stochastic_portfolio_theory wikiPageWikiLink Stochastic_differential_equation.
- Stochastic_portfolio_theory wikiPageWikiLink Stochastic_process.
- Stochastic_portfolio_theory wikiPageWikiLink Stock.
- Stochastic_portfolio_theory wikiPageWikiLink Stock_market.
- Stochastic_portfolio_theory wikiPageWikiLink Weyl_group.
- Stochastic_portfolio_theory wikiPageWikiLink Wiener_process.
- Stochastic_portfolio_theory wikiPageWikiLink File:Cumulative_turnover_processes_for_cap_ranked_US_stocks_in_the_1990s_from_CRSP_data.pdf.
- Stochastic_portfolio_theory wikiPageWikiLink File:U.S._Stock_market_capital_distribution_curves_1929-2009.pdf.
- Stochastic_portfolio_theory wikiPageWikiLink File:U.S._Stock_market_entropy_1980-2012.pdf.
- Stochastic_portfolio_theory wikiPageWikiLinkText "Stochastic portfolio theory".
- Stochastic_portfolio_theory subject Category:Finance_theories.
- Stochastic_portfolio_theory subject Category:Mathematical_theorems.
- Stochastic_portfolio_theory hypernym Theory.
- Stochastic_portfolio_theory type Work.
- Stochastic_portfolio_theory comment "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.".
- Stochastic_portfolio_theory label "Stochastic portfolio theory".
- Stochastic_portfolio_theory sameAs Q17163393.
- Stochastic_portfolio_theory sameAs m.0xnr7jt.
- Stochastic_portfolio_theory sameAs Q17163393.
- Stochastic_portfolio_theory wasDerivedFrom Stochastic_portfolio_theory?oldid=666441189.
- Stochastic_portfolio_theory isPrimaryTopicOf Stochastic_portfolio_theory.