英文标题：
《A new decomposition of portfolio return》
---
作者：
Robert Fernholz
---
最新提交年份：
2016
---
英文摘要：
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note, this decomposition is extended to arbitrary stock portfolios by an application of Fisk-Stratonovich integration. With the extended methodology, the generating function is represented by a structural process, and the drift process is subsumed into a trading process that measures the profit and loss to the portfolio from trading.
---
中文摘要：
对于功能生成的投资组合，相对对数收益自然分解为生成函数中的对数变化和漂移过程。在本文中，通过应用Fisk-Stratonovich积分，将此分解扩展到任意股票组合。在扩展的方法中，生成函数由一个结构过程表示，漂移过程被包含到一个交易过程中，该交易过程衡量投资组合的交易损益。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->