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Portfolio generating functions

Fernholz, Robert - 1999

Persistent link: https://www.econbiz.de/10001491273

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

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

Diversity and relative arbitrage in equity markets

Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 9 (2005) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10002497054

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

Instability and concentration in the distribution of wealth

Fernholz, Ricardo T.; Fernholz, Robert - In: Journal of economic dynamics & control 44 (2014), pp. 251-269

Persistent link: https://www.econbiz.de/10010473533

Stochastic portfolio theory : an overview

Karatzas, Ioannis; Fernholz, Robert - 2009

Persistent link: https://www.econbiz.de/10003826916

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

E. Robert Fernholz, PhD : Stochastic Portfolio Theory

Fernholz, Robert - 2021

In June 2020, Robert Fernholz spoke with members of the Journal of Investment Consulting’s editorial advisory board about stochastic portfolio theory, its contributions to the investment industry’s knowledge of equity markets, and its applicability to creating and monitoring investment...

Persistent link: https://www.econbiz.de/10013251308