Generalized Lyapunov functions and functionally generated trading strategies
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References listed on IDEAS
- Banner, Adrian D. & Ghomrasni, Raouf, 2008. "Local times of ranked continuous semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1244-1253, July.
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- Robert Fernholz, 2001. "Equity portfolios generated by functions of ranked market weights," Finance and Stochastics, Springer, vol. 5(4), pages 469-486.
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More about this item
Keywords
additive generation; Lyapunov function; market diversity; multiplicative generation; portfolio analysis; portfolio generating function; regular function; S&P 500; Stochastic Portfolio Theory;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
- J1 - Labor and Demographic Economics - - Demographic Economics
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