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A New Decomposition of Portfolio Return by Fernholz, Robert is a scholarly article available to read on EtoBox.

What is A New Decomposition of Portfolio Return about?

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.

Author

Fernholz, Robert

Published

2016

Language

EN