英文标题：
《Asset Price Distributions and Efficient Markets》
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作者：
Ricardo T. Fernholz and Caleb Stroup
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最新提交年份：
2018
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英文摘要：
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous semimartingale price representations, and is thus consistent with virtually any asset pricing model. Fluctuations in portfolio relative returns depend on stochastic time-varying dispersion in asset prices. Thus, our framework uncovers an asset pricing factor whose existence emerges from an accounting identity universal across different economic and financial environments, a fact that has deep implications for market efficiency. In particular, in a closed, dividend-free market in which asset price dispersion is relatively constant, a large class of portfolios must necessarily outperform the market portfolio over time. We show that price dispersion in commodity futures markets has increased only slightly, and confirm the existence of substantial excess returns that co-vary with changes in price dispersion as predicted by our theory.
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中文摘要：
我们探讨了一种分解，其中一大类投资组合相对于市场的回报取决于平稳的非负漂移和资产价格分布的变化。这种分解是使用一般的连续半鞅价格表示得到的，因此与几乎任何资产定价模型都是一致的。投资组合相对收益的波动取决于资产价格的随机时变离散。因此，我们的框架揭示了一个资产定价因素，其存在源于不同经济和金融环境中普遍存在的会计身份，这一事实对市场效率有着深刻的影响。特别是，在资产价格分散相对恒定的封闭、无股息市场中，随着时间的推移，一大类投资组合必然会跑赢市场投资组合。我们证明了商品期货市场的价格离散度仅略有增加，并证实了存在大量超额收益，正如我们的理论所预测的那样，超额收益随价格离散度的变化而变化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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