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Stochastic portfolio theory
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Fernholz, Robert
36
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RePEc
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Portfolio generating functions
Fernholz, Robert
-
1999
Persistent link: https://www.econbiz.de/10001491273
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2
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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3
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
Saved in:
4
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
Saved in:
5
Stochastic portfolio theory and stock market equilibrium
Fernholz, Robert
;
Shay, Brian
- In:
The journal of finance : the journal of the American …
37
(
1982
)
2
,
pp. 615-624
Persistent link: https://www.econbiz.de/10002153664
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
The implied liquidity premium for equities
Fernholz, Robert
;
Karatzas, Ioannis
- In:
Annals of finance
2
(
2006
)
1
,
pp. 87-99
Persistent link: https://www.econbiz.de/10003229735
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