投资组合收益的一种新分解
A new decomposition of portfolio return
摘要：
对于一个函数生成的投资组合，相对对数收益率自然分解为生成函数的对数变化和漂移过程。在本文中，这种分解被推广到任意的股票投资组合的应用菲斯克-Stratonovich积分。在扩展的方法中，生成函数由结构过程表示，漂移过程被归入交易过程，该交易过程测量交易对投资组合的损益。
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
