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Portfolios of Stocks Selected by Rank

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

Abstract

The distribution of capital is of fundamental importance in stochastic portfolio theory, as are functionally generated portfolios. In this chapter we shall combine these two concepts.

Keywords

Local Time Large Stock Relative Capitalization Rank Process Market Weight 
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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