Dynamics of observables in rank-based models and performance of functionally generated portfolios (Q2286454)
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scientific article; zbMATH DE number 7155061
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| English | Dynamics of observables in rank-based models and performance of functionally generated portfolios |
scientific article; zbMATH DE number 7155061 |
Statements
Dynamics of observables in rank-based models and performance of functionally generated portfolios (English)
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22 January 2020
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capital distribution
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functionally generated portfolios
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Gaussian fluctuations
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hitting times
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hydrodynamic limits
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macroscopic market observables
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market diversity
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market entropy
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porous medium equation
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rank-based models
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relative return
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stochastic partial differential equations
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stochastic portfolio theory
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0.7825681567192078
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0.7453618049621582
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0.7399591207504272
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0.7308592200279236
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