Equity portfolios generated by functions of ranked market weights
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- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
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- repec:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8 is not listed on IDEAS
- Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti, 2017. "Stochastic Evolution of Distributions - Applications to CDS indices," Documents de travail du Centre d'Economie de la Sorbonne 17007, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Kardaras, Constantinos & Robertson, Scott, 2012. "Robust maximization of asymptotic growth," LSE Research Online Documents on Economics 44994, London School of Economics and Political Science, LSE Library.
- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
More about this item
KeywordsPortfolio-generating function; local time; size effect; diversity-weighted index;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- G19 - Financial Economics - - General Financial Markets - - - Other
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