Poitras, Geoffrey and Heaney, John (2015): Classical Ergodicity and Modern Portfolio Theory. Published in: Chinese Journal of Mathematics , Vol. 2015, No. Article ID 737905, (2015): pp. 117.
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Abstract
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.
Item Type:  MPRA Paper 

Original Title:  Classical Ergodicity and Modern Portfolio Theory 
English Title:  Classical Ergodicity and Modern Portfolio Theory 
Language:  English 
Keywords:  Ergodicity; Modern Portfolio Theory 
Subjects:  C  Mathematical and Quantitative Methods > C0  General C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods G  Financial Economics > G0  General 
Item ID:  113952 
Depositing User:  Prof. Geoffrey Poitras 
Date Deposited:  08 Aug 2022 10:21 
Last Modified:  08 Aug 2022 10:21 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/113952 
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