标题： 市值账面比在随机投资组合理论中的应用 显示英文标题

标题： Market-to-book Ratio in Stochastic Portfolio Theory

摘要： 我们研究在随机组合理论背景下股票的账面市值比。 通过两种方式开发依赖于相对资本化（“规模”）以外的辅助经济变量的功能生成组合，并给出它们相对于市场的相对收益。 这使我们能够在辅助变量为股票账面价值时，识别此类生成组合收益中的价值因子（即账面市值比）。 给出了组合的示例以及其实证结果，证据表明除了规模外，价值因子确实影响组合的表现。 显示英文摘要

摘要： 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.