Portfolio Generating Functions

Name: Portfolio Generating Functions
Creator: ROBERT FERNHOLZ
Keywords: 8. Economic growth, 0502 economics and business, 05 social sciences, 1. No poverty, 10. No inequality, 16. Peace & justice

ROBERT FERNHOLZ

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SSRN Electronic Jour...arrow_drop_down

SSRN Electronic Journal

Article . 1998 . Peer-reviewed

Data sources: Crossref

https://doi.org/10.1142/978981...

Part of book or chapter of book . 1999 . Peer-reviewed

Data sources: Crossref

https://dx.doi.org/10.2139/ssr...

Other literature type

Data sources: Microsoft Academic Graph

Portfolio Generating Functions

descriptionPublicationkeyboard_double_arrow_right Article , Part of book or chapter of book , Other literature type 01 Jan 1998 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: ROBERT FERNHOLZ;

doi: 10.2139/ssrn.139549 , 10.1142/9789812812599_0015

Portfolio Generating Functions

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Abstract

A general method is presented for constructing dynamic equity portfolios through the use of mathematical generating functions. The return on these functionally generated portfolios is related to the return on the market portfolio by a stochastic differential equation. Under appropriate conditions, this equation can be used to establish a dominance relationship between a functionally generated portfolio and the market portfolio.

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