Quantifying dimensional change in stochastic portfolio theory

no code implementations • 1 Mar 2023 • Erhan Bayraktar, Donghan Kim, Abhishek Tilva

In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension.

Arbitrage theory in a market of stochastic dimension

no code implementations • 9 Dec 2022 • Erhan Bayraktar, Donghan Kim, Abhishek Tilva

This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time.