157 citations · 400 across the 14 of their papers we have counts for
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q-fin.MF2016★ 2 cited
A new decomposition of portfolio return
Robert Fernholz
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note…
econ.GN2016
A Rank-Based Approach to Zipf's Law
Ricardo T. Fernholz, Robert Fernholz
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law,…