E. Robert Fernholz, PhD: Stochastic Portfolio Theory

Abstract

In June 2020, Robert Fernholz spoke with members of the Journal of Investment Consulting’s editorial advisory board about stochastic portfolio theory, its contributions to the investment industry’s knowledge of equity markets, and its applicability to creating and monitoring investment portfolios. Taking part in the discussion were Inna Okounkova, Columbia University and editor-in-chief of the Journal; Edward Baker, Mesirow Financial; Ludwig Chincarini, University of San Francisco and United States Commodity Funds; Philip Fazio, Merrill Lynch; and Geoffrey Gerber, TWIN Capital Management.

Keywords: Robert Fernholz, Stochastic Portfolio Theory, Masters interview

JEL Classification: G10, G11