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Portfolio Generating Functions

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar

Author

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  • ROBERT FERNHOLZ

    (INTECH, One Palmer Square, Princeton, NJ 08542, USA)

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.

Suggested Citation

  • Robert Fernholz, 1999. "Portfolio Generating Functions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 15, pages 344-367, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812599_0015
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