6 papers
Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
Ricardo T. Fernholz, Robert Fernholz
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfol…
Permutation-Weighted Portfolios and the Efficiency of Commodity Futures Markets
Ricardo T. Fernholz, Robert Fernholz
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 logarithm…
The Rank Effect
Ricardo T. Fernholz, Christoffer Koch
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked asset…
Asset Price Distributions and Efficient Markets
Ricardo T. Fernholz, Caleb Stroup
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution.…
Zipf's Law for Atlas Models
Ricardo T. Fernholz, Robert Fernholz
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 l…
The Rank Effect for Commodities
Ricardo T. Fernholz, Christoffer Koch
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arb…