Convergence rates for rank-based models with applications to portfolio theory
From MaRDI portal
Publication:1955832
DOI10.1007/s00440-012-0432-5zbMath1274.60291arXiv1108.0384MaRDI QIDQ1955832
Soumik Pal, Tomoyuki Ichiba, Mykhaylo Shkolnikov
Publication date: 19 June 2013
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.0384
reflecting Brownian motion; stochastic portfolio theory; market weights; Rank-based interacting diffusions
60K35: Interacting random processes; statistical mechanics type models; percolation theory
60G07: General theory of stochastic processes
91B26: Auctions, bargaining, bidding and selling, and other market models
91G10: Portfolio theory
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