PORTFOLIO GENERATING FUNCTIONS

Robert Fernholz
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Robert Fernholz: INTECH, One Palmer Square, Princeton, NJ 08542, USA

Chapter 15 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 344-367 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractA 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.

Date: 1999
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