Background
Fernholz, Erhard Robert was born on March 27, 1941 in Princeton, New Jersey, United States. Son of Erhard and Mary (Briganti) Fernholz.
(Stochastic portfolio theory is a mathematical methodology...)
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
http://www.amazon.com/gp/product/0387954058/?tag=2022091-20
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Fernholz, Erhard Robert was born on March 27, 1941 in Princeton, New Jersey, United States. Son of Erhard and Mary (Briganti) Fernholz.
AB, Princeton University, 1962. Doctor of Philosophy, Columbia University, 1967.
Research director Arbitrage Management Company, New York City, 1980—1987. Founder, chief investment officer INTECH, Princeton, 1987—2008, chairman investment committee, since 2008, founder, since 2008. Founder, trustee Minerva Research Foundation, since 1993.
(Stochastic portfolio theory is a mathematical methodology...)
Founder, trustee Minerva Research Foundation, since 1993, Fernholz Foundation, since 2009. Trustee Institute Advanced Study, since 2010.
Married Luisa Turrin, June 4, 1970. Children: Daniel, Ricardo.
