157 citations · 400 across the 14 of their papers we have counts for
17 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…
Diversification, Volatility, and Surprising Alpha
Adrian Banner, Robert Fernholz, Vassilios Papathanakos +2
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-wei…
Numeraire markets
Robert Fernholz
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…
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…
Stratonovich representation of semimartingale rank processes
Robert Fernholz
Suppose that are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by ge…