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

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

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

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...

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

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

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

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

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

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

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

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

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...

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

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...

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

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

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

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

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 + (...

rationality and market efficiency lead to modern portfolio theory (the CAPM), and to the Black–Scholes theory for option valuation. At more advanced levels—and...

"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 black swan theory or theory of black swan events is a metaphor that describes an event that comes as a surprise, has a major effect, and is often inappropriately...

founded on economic theory (whereas CAPM is founded on Modern Portfolio Theory), but rather, constructed with long-short portfolios in response to the...

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...

tools in stochastic control and financial mathematics. In the 1990s, Étienne Pardoux and Shige Peng established the existence and uniqueness theory for BSDE...

Hamilton–Jacobi–Bellman equation Merton's portfolio problem Optimal stopping Malthusian growth model Mean field game theory Optimal rotation age Sovereign debt...

historical data. Behavioral portfolio theory recognizes that investors have varied aims and create an investment portfolio that meets a broad range of...

and physicist. Eugene Fama, (born 1939) American economist, work on portfolio theory and asset pricing, laureate Nobel Memorial Prize in Economic Sciences...