Principles of Portfolio Choice
An Information-Theoretic, Likelihood-Based Perspective
$255.44
- Hardcover
396 pages
- Release Date
27 November 2026
Summary
Principles of Portfolio Choice: An Information-Theoretic, Likelihood-Based Perspective develops a scenario-level theory of portfolio selection. Its starting point is simple but powerful: market prices assign values to future scenarios, and once normalized these state prices define a market-implied probability measure. An investor who disagrees with the market is therefore not merely choosing portfolio weights; she is choosing a different likelihood model over the same scenarios.
…Book Details
| ISBN-13: | 9781032951980 |
|---|---|
| ISBN-10: | 1032951982 |
| Author: | Jan Vecer |
| Publisher: | Taylor & Francis Ltd |
| Imprint: | Chapman & Hall/CRC |
| Format: | Hardcover |
| Number of Pages: | 396 |
| Release Date: | 27 November 2026 |
| Weight: | 453g |
| Dimensions: | 178mm x 254mm |
| Series: | Chapman and Hall/CRC Financial Mathematics Series |
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Jan Vecer
Jan Vecer teaches and conducts research in quantitative finance and statistics at Charles University in his native Prague. He received his PhD in Mathematical Finance from Carnegie Mellon University in 2000. From 2001 to 2010 he was a faculty member in the Department of Statistics at Columbia University. He later joined the Frankfurt School of Finance & Management, where he served as professor of finance from 2010 to 2015 and has continued as a visiting professor since 2015. His work combines mathematical finance, statistics, portfolio theory, and practical trading applications. Through consulting projects, he developed market-making and trading algorithms used by major betting bookmakers. He also worked in a senior algorithmic-trading consulting role for energy markets, including gas, oil, power, and carbon trading, at ČEZ, the major Czech power company. He is the author of Stochastic Finance: A Numeraire Approach, published by CRC Press in 2011.
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