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Functional portfolio generation, initiated by E.R.
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Portfolio generating functions
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Equity portfolios generated by functions of ranked market weights
Fernholz, R. (2001) · 2001
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Stochastic Portfolio Theory
Fernholz, E. R. (2002) · 2002
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Vector stochastic integrals and the Fundamental Theorems of Asset Pricing
Shiryaev, A. N. and Cherny, A. S. (2002) · 2002
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Relative arbitrage in volatility-stabilized markets
Fernholz, R. and Karatzas, I. (2005) · 2005
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Hybrid Atlas models
Ichiba, T., Papathanakos, V., Banner, A., Karatzas, I., and Fernholz, R. (2011) · 2011
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Semimartingale decomposition of convex functions of continuous semimartingales by Brownian perturbation
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Strong solutions of stochastic equations with rank-based coefficients
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Convergence of local supermartingales and Novikov-Kazamaki-type conditions for processes with jumps
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On the loss of the semimartingale property at the hitting time of a level
Mijatović, A. and Urusov, M. (2015) · 2015
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The geometry of relative arbitrage
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Fernholz, R., Karatzas, I., and Kardaras, C. (2005) · 2005
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Local times of ranked continuous semimartingales
Banner, A. D. and Ghomrasni, R. (2008) · 2008
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Stochastic Portfolio Theory: an overview
Fernholz, R. and Karatzas, I. (2009) · 2009
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Pal, S. and Wong, T.-K. L. (2015) · 2015
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Diversity-weighted portfolios with negative parameter
Vervuurt, A. and Karatzas, I. (2015) · 2015
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Volatility and arbitrage
Fernholz, R., Karatzas, I., and Ruf, J. (2016) · 2016
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