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q-fin.GN2018
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…
q-fin.PM2018
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.…