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q-fin.MF2022
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,…
q-fin.MF2022
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…