E. Robert Fernholz
Princeton University
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Featured researches published by E. Robert Fernholz.
Archive | 2002
E. Robert Fernholz
Functionally generated portfolios are a generalization of the entropy-weighted portfolio defined in Section 2.3. In this chapter we show that a broad range of functions can be used to generate portfolios, and for functionally generated portfolios, a decomposition of the relative return analogous to that of the entropy-weighted portfolio in Theorem 2.3.4 remains valid. Theorem 2.3.4 is a prototype for the general results we present here.
Archive | 2002
E. Robert Fernholz
Stochastic Processes and their Applications | 2013
E. Robert Fernholz; Tomoyuki Ichiba; Ioannis Karatzas
Probability Theory and Related Fields | 2013
E. Robert Fernholz; Tomoyuki Ichiba; Ioannis Karatzas; Vilmos Prokaj
World Scientific Book Chapters | 1998
E. Robert Fernholz
Annals of Applied Probability | 2018
E. Robert Fernholz; Ioannis Karatzas; Johannes Ruf
arXiv: Probability | 2011
E. Robert Fernholz; Tomoyuki Ichiba; Ioannis Karatzas; Vilmos Prokaj
Social Science Research Network | 1999
E. Robert Fernholz
Social Science Research Network | 1999
E. Robert Fernholz
