Stable Models for the Distribution of Capital

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


In Chapter 2 we examined certain characteristics of the distribution of capital, but since the analytical tools at our disposal were limited, the results were incomplete. In this chapter we shall apply the methods introduced in Chapters 3 and 4 to achieve a deeper understanding of the structure of the capital distribution. In particular, local times related to the market weight processes permit us to develop a detailed model for a stable capital distribution.


Market Model Pareto Distribution Equity Market Lower Envelope Small Stock 


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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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