Capital distribution and portfolio performance in the mean-field Atlas model

DOI10.1007/S10436-014-0258-5zbMath1319.91145arXiv1312.5660OpenAlexW2091508111MaRDI QIDQ2351635

Benjamin Jourdain, Julien Reygner

Publication date: 26 June 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5660

zbMATH Keywords

stochastic portfolio theoryasymptotic descriptionrank-based modelscapital distribution curveslong-term capital distributionmean-field Atlas modelportfolio rules

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (15)

Equilibrium large deviations for mean-field systems with translation invariance ⋮ Analytical approximations of non-linear SDEs of McKean-Vlasov type ⋮ Two-Sided Infinite Systems of Competing Brownian Particles ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ Propagation of chaos for maxima of particle systems with mean-field drift interaction ⋮ Long time behaviour and mean-field limit of Atlas models ⋮ Backward stochastic differential equations with rank-based data ⋮ Comparison techniques for competing Brownian particles ⋮ A stock market model based on CAPM and market size ⋮ A note on jump Atlas models ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ Information Geometry in Portfolio Theory ⋮ Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line ⋮ Large Population Asymptotics for Interacting Diffusions in a Quenched Random Environment ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift

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