Classical Ergodicity and Modern Portfolio Theory - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Chinese Journal of Mathematics Année : 2015

Classical Ergodicity and Modern Portfolio Theory

John Heaney
  • Fonction : Auteur

Résumé

What role have theoretical methods initially developed in mathematics and physics played in the progress of financial economics? What is the relationship between financial economics and econophysics? What is the relevance of the “classical ergodicity hypothesis” to modern portfolio theory? This paper addresses these questions by reviewing the etymology and history of the classical ergodicity hypothesis in 19th century statistical mechanics. An explanation of classical ergodicity is provided that establishes a connection to the fundamental empirical problem of using nonexperimental data to verify theoretical propositions in modern portfolio theory. The role of the ergodicity assumption in the ex post/ex ante quandary confronting modern portfolio theory is also examined.
Fichier principal
Vignette du fichier
CJM_737905-1.pdf (2.09 Mo) Télécharger le fichier
Origine : Fichiers éditeurs autorisés sur une archive ouverte

Dates et versions

hal-03680380 , version 1 (27-05-2022)

Licence

Domaine public

Identifiants

Citer

Geoffrey Poitras, John Heaney. Classical Ergodicity and Modern Portfolio Theory. Chinese Journal of Mathematics, 2015, 2015, pp.1-17. ⟨10.1155/2015/737905⟩. ⟨hal-03680380⟩
20 Consultations
8 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More