Equity portfolios generated by functions of ranked market weights

DOI10.1007/s007800100044zbMath1049.91068OpenAlexW3122091132MaRDI QIDQ5957681

E. Robert Fernholz

Publication date: 13 March 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100044

zbMATH Keywords

local timesize effectdiversity-weighted indexportfolio-generating function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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