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Stochastic Portfolio Theory and Stock Market Equilibrium

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  • Fernholz, Robert
  • Shay, Brian
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 37 (1982)
    Issue (Month): 2 (May)
    Pages: 615-24

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    Handle: RePEc:bla:jfinan:v:37:y:1982:i:2:p:615-24

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    Cited by:
    1. Muteba Mwamba, John & Suteni, Mwambi, 2010. "An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio," MPRA Paper 50240, University Library of Munich, Germany.
    2. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org.
    3. Fernholz, Robert, 1999. "On the diversity of equity markets," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 393-417, April.
    4. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
    5. Igor Evstigneev & Dhruv Kapoor, 2006. "Arbitrage in stationary markets," The School of Economics Discussion Paper Series 0619, Economics, The University of Manchester.
    6. Diane Wilcox & Tim Gebbie, 2013. "Factorising equity returns in an emerging market through exogenous shocks and capital flows," Papers 1306.5302, arXiv.org, revised Jul 2013.

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