Market-to-book ratio in stochastic portfolio theory

DOI10.1007/s00780-023-00501-5OpenAlexW4361008678MaRDI QIDQ2697498

Yanyan Li

Publication date: 12 April 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.03742

zbMATH Keywords

stochastic portfolio theorybook valuefunctional generation of portfoliosmarket-to-book ratio

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

Cites Work

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• Diversity-weighted portfolios with negative parameter
• Local times of ranked continuous semimartingales
• Trading strategies generated pathwise by functions of market weights
• Trading strategies generated by Lyapunov functions
• Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
• Stochastic Portfolio Theory: an Overview
• Model-Free Portfolio Theory and Its Functional Master Formula
• Generalised Lyapunov Functions and Functionally Generated Trading Strategies
• Common risk factors in the returns on stocks and bonds
• Open markets

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