10 citations · 10 across the 1 of their papers we have counts for
3 papers
q-fin.PM2012
Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
Winslow Strong
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulate…
q-fin.PR2011
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Winslow Strong
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dim…
q-fin.GN2010★ 10 cited
Diversity and Arbitrage in a Regulatory Breakup Model
Winslow Strong, Jean-Pierre Fouque
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in…