papers
Publications (11)
q-fin.MF2015
An example of short-term relative arbitrage
Robert Fernholz
q-fin.MF2016
A new decomposition of portfolio return
Robert Fernholz
math.PR2011
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
math.PR2017
Stratonovich representation of semimartingale rank processes
Robert Fernholz
q-fin.MF2018
Numeraire markets
Robert Fernholz
math.PR2006
Atlas models of equity markets
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
q-fin.MF2015
Variations on an example of Karatzas and Ruf
Robert Fernholz
q-fin.PM2018
Diversification, Volatility, and Surprising Alpha
Adrian Banner, Robert Fernholz, Vassilios Papathanakos +2
q-fin.MF2015
Identification of Atlas models
Robert Fernholz
q-fin.PM2008
Diversity and relative arbitrage in equity markets
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
q-fin.ST2013
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas