论文标题
随机投资组合理论的市场与书本比率
Market-to-book Ratio in Stochastic Portfolio Theory
论文作者
论文摘要
我们在随机投资组合理论的背景下研究股票的市场比率。功能生成的投资组合依赖于相对资本以外的辅助经济变量（“规模”）以两种方式开发，以及它们相对于市场的相对回报。这使我们能够确定当辅助变量是股票的账面价值时，在此类生成的投资组合的回报中确定了价值因素（即市场与书籍比率）。给出了投资组合及其经验结果的例子，并有证据表明，除了大小外，价值因子确实会影响投资组合的性能。
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways, together with their relative returns with respect to the market. This enables us to identify the value factor (i.e., market-to-book ratio) in returns of such generated portfolios when the auxiliary variables are stocks' book values. Examples of portfolios, as well as their empirical results, are given, with the evidence that, in addition to size, the value factor does affect the performance of the portfolio.
