Hybrid Atlas models
Probability
2011-04-07 v2 Computational Finance
Portfolio Management
Abstract
We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of such models we discuss properties of various investment strategies, including the so-called growth-optimal and universal portfolios.
Cite
@article{arxiv.0909.0065,
title = {Hybrid Atlas models},
author = {Tomoyuki Ichiba and Vassilios Papathanakos and Adrian Banner and Ioannis Karatzas and Robert Fernholz},
journal= {arXiv preprint arXiv:0909.0065},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AAP706 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)