Performance of Functionally Generated Portfolios

  • E. Robert Fernholz
Part of the Applications of Mathematics book series (SMAP, volume 48)


In this chapter we analyze the simulated behavior of several functionally generated portfolios in the U.S. stock market. The portfolios we consider are the entropy-weighted portfolio of Definition 2.3.3, the D p -weighted portfolio of Examples 3.4.4 and 4.3.5, and the large-stock and small-stock portfolios from Example 4.3.2. We also look at the relative performance of the biggest stock in the market, discussed in Example 4.3.1.


Trading Cost Equity Market Sharpe Ratio Market Portfolio Relative Capitalization 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • E. Robert Fernholz
    • 1
  1. 1.INTECHPrincetonUSA

Personalised recommendations