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Functionally Generated Portfolios

  • E. Robert Fernholz
Chapter
Part of the Applications of Mathematics book series (SMAP, volume 48)

Abstract

Functionally generated portfolios are a generalization of the entropy-weighted portfolio defined in Section 2.3. In this chapter we show that a broad range of functions can be used to generate portfolios, and for functionally generated portfolios, a decomposition of the relative return analogous to that of the entropy-weighted portfolio in Theorem 2.3.4 remains valid. Theorem 2.3.4 is a prototype for the general results we present here.

Keywords

Option Price Entropy Function Market Portfolio Arbitrage Opportunity Weak Diversity 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • E. Robert Fernholz
    • 1
  1. 1.INTECHPrincetonUSA

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