Abstract
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.
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© 2002 Springer Science+Business Media New York
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Fernholz, E.R. (2002). Performance of Functionally Generated Portfolios. In: Stochastic Portfolio Theory. Applications of Mathematics, vol 48. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-3699-1_6
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DOI: https://doi.org/10.1007/978-1-4757-3699-1_6
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-2987-7
Online ISBN: 978-1-4757-3699-1
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