157 citations · 400 across the 14 of their papers we have counts for
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q-fin.MF2015
Variations on an example of Karatzas and Ruf
Robert Fernholz
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bo…
q-fin.MF2015★ 1 cited
An example of short-term relative arbitrage
Robert Fernholz
Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypoth…
q-fin.MF2015
Identification of Atlas models
Robert Fernholz
Atlas models are systems of Ito processes with parameters that depend on rank. We show that the parameters of a simple Atlas model can be identified by measuring the variance of th…