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for index funds the core problems are estimating risk and return, minimizing effect of uncertainty and std err on portfolio tracking, and fast optimization for
by princeb 9y ago
for index funds the core problems are estimating risk and return, minimizing effect of uncertainty and std err on portfolio tracking, and fast optimization for large portfolios (>1000 assets).
these are fairly long term problems so stochastic calculus not too useful here. portfolio risk is a very classic stats field.
- princeb 9y agojust as an addendum. it's not really clear that the math is "high" from the above comment but portfolio management, even the really boring sounding ones like index replication, uses the entire gamut of "high mathematics": robust and Bayesian statistics, non-parametric statistics, extreme value statistics, signal processing, numerical optimization, etc.