Capital distribution and portfolio performance in the mean-field Atlas model
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Publication:2351635
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
stochastic portfolio theoryasymptotic descriptionrank-based modelscapital distribution curveslong-term capital distributionmean-field Atlas modelportfolio rules
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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