Arbitrage Management Company, and Hunter College, City University of New York respectively. The authors wish to thank Richard Brignoli, Harry Markowitz, Hector Sussmann, and John Zumbrunn for many helpful suggestions during the course of this research.
Stochastic Portfolio Theory and Stock Market Equilibrium
Article first published online: 30 APR 2012
1982 The American Finance Association
The Journal of Finance
Volume 37, Issue 2, pages 615–624, May 1982
How to Cite
FERNHOLZ, R. and SHAY, B. (1982), Stochastic Portfolio Theory and Stock Market Equilibrium. The Journal of Finance, 37: 615–624. doi: 10.1111/j.1540-6261.1982.tb03584.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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