Munich Personal RePEc Archive

Classical Ergodicity and Modern Portfolio Theory

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. 1-17.

[thumbnail of MPRA_paper_113952.pdf]

Download (301kB) | Preview


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 non-experimental 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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.