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Market-to-book ratio in stochastic portfolio theory

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 relative capitalisations (“sizes”) are developed in two ways, together with their relative returns with respect to the mark...

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Detalles Bibliográficos
Autor principal: Kim, Donghan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10040936/
http://dx.doi.org/10.1007/s00780-023-00501-5