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.

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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 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.

Item Type: | MPRA Paper |
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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.uni-muenchen.de/id/eprint/113952 |