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E. Robert Fernholz
E. Robert Fernholz
Intech Investments
Dirección de correo verificada de bobfernholz.com
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Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights
ER Fernholz
US Patent 5,819,238, 1998
5391998
Stochastic portfolio theory
ER Fernholz, ER Fernholz
Stochastic portfolio theory, 1-24, 2002
5042002
Stochastic portfolio theory: an overview
R Fernholz, I Karatzas
Handbook of numerical analysis 15 (89-167), 1180.91267, 2009
2252009
Atlas models of equity markets
AD Banner, R Fernholz, I Karatzas
1882005
Stochastic portfolio theory and stock market equilibrium
R Fernholz, B Shay
The Journal of Finance 37 (2), 615-624, 1982
1691982
Relative arbitrage in volatility-stabilized markets
R Fernholz, I Karatzas
Annals of Finance 1, 149-177, 2005
1402005
Diversity-weighted indexing
R Fernholz, R Garvy, J Hannon
Journal of Portfolio Management 24 (2), 74, 1998
1371998
Diversity and relative arbitrage in equity markets
R Fernholz, I Karatzas, C Kardaras
Finance and Stochastics 9, 1-27, 2005
1322005
Hybrid atlas models
T Ichiba, V Papathanakos, A Banner, I Karatzas, R Fernholz
1262011
On the diversity of equity markets
R Fernholz
Journal of Mathematical Economics 31 (3), 393-417, 1999
1031999
Portfolio generating functions
R Fernholz
Quantitative Analysis in Financial Markets: Collected Papers of the New York …, 1999
791999
Equity portfolios generated by functions of ranked market weights
R Fernholz
Finance and Stochastics 5, 469-486, 2001
612001
Stochastic portfolio theory: an overview
I Karatzas, R Fernholz
Handbook of numerical analysis 15, 89-167, 2009
512009
Technique for managing, through use of combined optimized weights, a financial portfolio formed of multiple weight-based component portfolios all having the same securities
E Fernholz
US Patent App. 10/117,678, 2002
462002
A second-order stock market model
R Fernholz, T Ichiba, I Karatzas
Annals of Finance 9, 439-454, 2013
432013
Planar diffusions with rank-based characteristics and perturbed Tanaka equations
ER Fernholz, T Ichiba, I Karatzas, V Prokaj
Probability Theory and Related Fields 156 (1), 343-374, 2013
422013
Two Brownian particles with rank-based characteristics and skew-elastic collisions
ER Fernholz, T Ichiba, I Karatzas
Stochastic Processes and their Applications 123 (8), 2999-3026, 2013
342013
Instability and concentration in the distribution of wealth
R Fernholz, R Fernholz
Journal of economic Dynamics and Control 44, 251-269, 2014
302014
The statistics of statistical arbitrage
R Fernholz, C Maguire Jr
Financial Analysts Journal 63 (5), 46-52, 2007
302007
Volatility and arbitrage
ER Fernholz, I Karatzas, J Ruf
272018
El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.
Artículos 1–20