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Jongbong An

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Preprint Oct 2026

A Price-Based Framework for Stochastic Portfolio Theory

We develop a price-based framework for stochastic portfolio theory in which trading strategies are generated from nominal price weights and evaluated relative to a price-weighted benchmark. Stock splits and reverse splits induce jumps in the generating weights without changing the value of existing investments. In a se...

Jongbong An, Donghan Kim · 0 citations

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