Quantifying dimensional change in stochastic portfolio theory

Erhan Bayraktar, Donghan Kim and Abhishek Tilva

Papers from arXiv.org

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.

Date: 2023-03, Revised 2023-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/2303.00858 Latest version (application/pdf)

Related works:
Journal Article: Quantifying dimensional change in stochastic portfolio theory (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2303.00858

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().