摘要翻译:
功能生成投资组合理论是Robert Fernholz的连续时间、连续路径随机投资组合理论的一个方面。FGPs的制定是为了得到一个主方程--描述它们相对于被动(买入并持有)基准投资组合的回报,作为Num\'eraire。这种描述在分析上证明是非常有用的,因为它既是有路径的,又没有随机积分。在这里,我们从几个方面对FGPs类进行了推广:(1)Num eraire可能是任何严格的正财富过程,不一定是市场投资组合,甚至不一定是被动投资组合;(2)生成函数可能是随机动态的,通过有限变差的辅助连续路径随机变元来调整以适应不断变化的市场条件。这些推广并没有丧失相关主方程的重要可处理性。我们展示了这些概括如何有效地应用于情景分析、统计套利、投资组合风险免疫和镜像投资组合理论。
---
英文标题:
《Generalizations of Functionally Generated Portfolios with Applications
to Statistical Arbitrage》
---
作者:
Winslow Strong
---
最新提交年份:
2013
---
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
--
---
英文摘要:
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the num\'eraire. This description has proven to be analytically very useful, as it is both pathwise and free of stochastic integrals. Here we generalize the class of FGPs in several ways: (1) the num\'eraire may be any strictly positive wealth process, not necessarily the market portfolio or even a passive portfolio; (2) generating functions may be stochastically dynamic, adjusting to changing market conditions through an auxiliary continuous-path stochastic argument of finite variation. These generalizations do not forfeit the important tractability properties of the associated master equation. We show how these generalizations can be usefully applied to scenario analysis, statistical arbitrage, portfolio risk immunization, and the theory of mirror portfolios.
---
PDF链接:
https://arxiv.org/pdf/1212.1877