DYNAMICS OF OBSERVABLES IN RANK-BASED MODELS AND PERFORMANCE OF FUNCTIONALLY GENERATED PORTFOLIOS

• 成果类型: Article
• 署名作者: Monter, Sergio A. Almada; Shkolnikov, Mykhaylo; Zhang, Jiacheng
• 署名单位: JP Morgan Chase & Company; Princeton University; Princeton University; Princeton University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1466
• 发表日期: 2019
• 页码: 2849-2883
• 关键词: Diffusions; propagation; diversity; systems

摘要

In the seminal work (Stochastic Portfolio Theory: Stochastic Modelling and Applied Probability (2002) Springer), several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment decisions, a concise mathematical description of their dynamics has been missing. We fill this gap in the setting of rank-based models. The results are then used to study the performance of multiplicatively and additively functionally generated portfolios.