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pro vyhledávání: '"FERNHOLZ, ROBERT"'
Autor:
Fernholz, Ricardo T., Fernholz, Robert
This paper is a synthesis of the theories of portfolio generating functions and rational option pricing. For a family of n >= 2 assets with prices represented by strictly positive continuous semimartingales, a contingent claim function is a scalable
Externí odkaz:
http://arxiv.org/abs/2308.13717
Autor:
Fernholz, Ricardo T., Fernholz, Robert
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. Functionally generated portfolios are portfolios for which the logarithmic return relative to the market portfolio can be decomposed into a fu
Externí odkaz:
http://arxiv.org/abs/2001.06914
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non- op
Externí odkaz:
http://arxiv.org/abs/1809.03769
Autor:
Fernholz, Robert
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We study open m
Externí odkaz:
http://arxiv.org/abs/1801.07309
Autor:
Fernholz, Ricardo T., Fernholz, Robert
A set of data with positive values follows a Pareto distribution if the log-log plot of value versus rank is approximately a straight line. A Pareto distribution satisfies Zipf's law if the log-log plot has a slope of -1. Since many types of ranked d
Externí odkaz:
http://arxiv.org/abs/1707.04285
Autor:
Fernholz, Robert
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used
Externí odkaz:
http://arxiv.org/abs/1705.00336
Autor:
FERNHOLZ, RICARDO T., FERNHOLZ, ROBERT
Publikováno v:
Journal of Applied Probability, 2020 Dec 01. 57(4), 1276-1297.
Externí odkaz:
https://www.jstor.org/stable/48656671
Autor:
Fernholz, Robert
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note, this decomposition is extended to arbitrary stock portfolios by an a
Externí odkaz:
http://arxiv.org/abs/1606.05877
Autor:
Fernholz, Ricardo T., Fernholz, Robert
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law, the log-log plot of these steady-state values versus rank is a straigh
Externí odkaz:
http://arxiv.org/abs/1602.08533
Autor:
Fernholz, Robert
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are give
Externí odkaz:
http://arxiv.org/abs/1512.02478