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Stochastic portfolio theory
Fernholz, Robert - 2002
Persistent link: https://www.econbiz.de/10001660942
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Equity portfolios generated by functions of ranked market weights
Fernholz, Robert - In: Finance and stochastics 5 (2001) 4, pp. 469-486
Persistent link: https://www.econbiz.de/10001614600
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On the diversity of equity markets
Fernholz, Robert - In: Journal of mathematical economics 31 (1999) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10001418991
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Relative arbitrage in volatility-stabilized markets
Fernholz, Robert; Karatzas, Ioannis - In: Annals of finance 1 (2005) 2, pp. 149-177
Persistent link: https://www.econbiz.de/10002713164
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A second-order stock market model
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis - In: Annals of finance 9 (2013) 3, pp. 439-454
Persistent link: https://www.econbiz.de/10009776425
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A forecasting model for stock market diversity
Audrino, Francesco; Fernholz, Robert; Ferretti, Roberto G. - In: Annals of finance 3 (2007) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10003425362
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Stochastic portfolio theory : an overview
Karatzas, Ioannis; Fernholz, Robert - 2009
Persistent link: https://www.econbiz.de/10003826916
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Permutation-weighted portfolios and the efficiency of commodity futures markets
Fernholz, Ricardo T.; Fernholz, Robert - In: Annals of finance 18 (2022) 1, pp. 81-108
Persistent link: https://www.econbiz.de/10013194634