Quantifying dimensional change in stochastic portfolio theory
From MaRDI portal
Publication:6428124
arXiv2303.00858MaRDI QIDQ6428124FDOQ6428124
Erhan Bayraktar, Abhishek Tilva, Donghan Kim
Publication date: 1 March 2023
Abstract: In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension. By introducing dimensional jumps in the market, as well as jumps in stock capitalization between the dimensional jumps, we construct different types of self-financing stock portfolios (additive, multiplicative, and rank-based) in a very general setting. Our study explains how a dimensional change caused by a listing or delisting event of a stock, and unexpected shocks in the market, affect portfolio return. We also provide empirical analyses of some classical portfolios, quantifying the impact of dimensional change in portfolio performance relative to the market.
This page was built for publication: Quantifying dimensional change in stochastic portfolio theory
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6428124)
