Hybrid Atlas models (Q535207)

The paper studies models for equity markets with a large number of stocks. The starting point is the observation that the pattern of relative market capitalization in real equity markets stays relatively constant over time. This behaviour can be reproduced by so-called Atlas models (cf. [\textit{A. D. Banner}, \textit{R. Fernholz} and \textit{I. Karatzas}, Ann. Appl. Probab. 15, No. 4, 2296--2330 (2005; Zbl 1099.91056)]). In these setups, the growth rates and variances depend on the rank of the stock. The present study generalizes these models by allowing a dependence of the local behaviour on the name of the stock as well. The motivation is to account for the fact that observed occupation times at particular ranks seem incompatible with the simpler purely rank-based models. The authors study in detail the ergodic properties of their extended model, the invariant measure and occupation times as well as the implications on portfolio optimization in the long run.