Следене
E. Robert Fernholz
E. Robert Fernholz
Intech Investments
Потвърден имейл адрес: bobfernholz.com
Заглавие
Позовавания
Позовавания
Година
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
5251998
Stochastic portfolio theory
ER Fernholz
Stochastic portfolio theory, 1-24, 2002
4512002
Stochastic portfolio theory: an overview
R Fernholz, I Karatzas
Handbook of numerical analysis 15 (89-167), 1180.91267, 2009
2112009
Stochastic portfolio theory and stock market equilibrium
R Fernholz, B Shay
The Journal of Finance 37 (2), 615-624, 1982
1661982
Atlas models of equity markets
AD Banner, R Fernholz, I Karatzas
The Annals of Applied Probability 15 (4), 2296-2330, 2005
1602005
Relative arbitrage in volatility-stabilized markets
R Fernholz, I Karatzas
Annals of Finance 1 (2), 149-177, 2005
1302005
Diversity-weighted indexing
R Fernholz, R Garvy, J Hannon
Journal of Portfolio Management 24 (2), 74, 1998
1291998
Diversity and relative arbitrage in equity markets
R Fernholz, I Karatzas, C Kardaras
Finance and Stochastics 9 (1), 1-27, 2005
1282005
Hybrid atlas models
T Ichiba, V Papathanakos, A Banner, I Karatzas, R Fernholz
The Annals of Applied Probability 21 (2), 609-644, 2011
1102011
On the diversity of equity markets
R Fernholz
Journal of Mathematical Economics 31 (3), 393-417, 1999
891999
Portfolio generating functions
R Fernholz
Quantitative Analysis in Financial Markets: Collected Papers of the New York …, 1999
731999
Equity portfolios generated by functions of ranked market weights
R Fernholz
Finance and Stochastics 5 (4), 469-486, 2001
542001
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
432002
Stochastic portfolio theory: An overview
I Karatzas, R Fernholz
Handbook of numerical analysis 15, 89-167, 2009
412009
A second-order stock market model
R Fernholz, T Ichiba, I Karatzas
Annals of Finance 9 (3), 439-454, 2013
382013
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
372013
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
352013
The statistics of statistical arbitrage
R Fernholz, C Maguire Jr
Financial Analysts Journal 63 (5), 46-52, 2007
282007
Instability and concentration in the distribution of wealth
R Fernholz, R Fernholz
Journal of economic Dynamics and Control 44, 251-269, 2014
272014
Hybrid atlas models
AD Banner, ER Fernholz, T Ichiba, I Karatzas, V Papathanakos
Ann. Appl. Probab 21 (2), 609-644, 2011
262011
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