16 citations · 21 across the 7 of their papers we have counts for
8 papers
A Price-Based Framework for Stochastic Portfolio Theory
Jongbong An, Donghan Kim
We develop a price-based framework for stochastic portfolio theory in which trading strategies are generated from nominal price weights and evaluated relative to a price-weighted b…
Pathwise Portfolio Theory and Market Viability
Ioannis Karatzas, Donghan Kim
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the possi…
Quantifying dimensional change in stochastic portfolio theory
Erhan Bayraktar, Donghan Kim, Abhishek Tilva
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…
Arbitrage theory in a market of stochastic dimension
Erhan Bayraktar, Donghan Kim, Abhishek Tilva
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing,…
Market-to-book Ratio in Stochastic Portfolio Theory
Donghan Kim
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than rel…
Open Markets
Donghan Kim
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the…
Local times for continuous paths of arbitrary regularity
Donghan Kim
We study a continuous pathwise local time of order p for continuous functions with finite p-th variation along a sequence of time partitions, for even integers p >= 2. With this no…
Trading Strategies Generated Pathwise by Functions of Market Weights
Ioannis Karatzas, Donghan Kim
Almost twenty years ago, E.R. Fernholz introduced portfolio generating functions which can be used to construct a variety of portfolios, solely in the terms of the individual compa…