scientific article; zbMATH DE number 1746020
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Publication:4531968
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Martingales with continuous parameter (60G44) Stochastic analysis (60H99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70)
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- Equilibrium large deviations for mean-field systems with translation invariance
- Optimal surviving strategy for drifted Brownian motions with absorption
- SPDE limit of the global fluctuations in rank-based models
- Exponentially concave functions and a new information geometry
- Stationary distributions of the Atlas model
- Volatility and arbitrage
- Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
- Convergence rates for rank-based models with applications to portfolio theory
- Instability and concentration in the distribution of wealth
- Polynomial processes in stochastic portfolio theory
- Leakage of rank-dependent functionally generated trading strategies
- Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
- Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
- Random concave functions
- Domains of attraction of invariant distributions of the infinite atlas model
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- Beating the market? A mathematical puzzle for market efficiency
- Mean-field games and swarms dynamics in Gaussian and non-Gaussian environments
- No arbitrage in continuous financial markets
- Multiplicative Schrödinger problem and the Dirichlet transport
- A stock market model based on CAPM and market size
- Ergodic robust maximization of asymptotic growth
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Dynamics of observables in rank-based models and performance of functionally generated portfolios
- Trading strategies generated pathwise by functions of market weights
- Empirical evidence on Student-t log-returns of diversified world stock indices
- On the stochastic behaviour of optional processes up to random times
- Capital distribution and portfolio performance in the mean-field Atlas model
- Trading strategies generated by Lyapunov functions
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Diffusions with rank-based characteristics and values in the nonnegative quadrant
- Two Brownian particles with rank-based characteristics and skew-elastic collisions
- Modeling flocks and prices: jumping particles with an attractive interaction
- Atlas models of equity markets
- Concentration of measure for Brownian particle systems interacting through their ranks
- Diversified portfolios with jumps in a benchmark framework
- A note on transportation cost inequalities for diffusions with reflections
- Probability measure-valued polynomial diffusions
- Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
- Market-to-book ratio in stochastic portfolio theory
- Permutation-weighted portfolios and the efficiency of commodity futures markets
- Large deviations for diffusions interacting through their ranks
- Stochastic Partial Differential Equations and Portfolio Choice
- The geometry of relative arbitrage
- Diverse market models of competing Brownian particles with splits and mergers
- Generalized moment estimation of stochastic differential equations
- Decomposition of order statistics of semimartingales using local times
- Stochastic Portfolio Theory: an Overview
- Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
- Large systems of diffusions interacting through their ranks
- Outperforming the market portfolio with a given probability
- Model-free portfolio theory and its functional master formula
- Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
- Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
- Two-sided infinite systems of competing Brownian particles
- Pricing pension buy-outs under stochastic interest and mortality rates
- Long time behaviour and mean-field limit of Atlas models
- Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
- Short-term sparse portfolio optimization based on alternating direction method of multipliers
- Stochastic portfolio theory optimization and the origin of rule-based investing
- Beta-arbitrage strategies: when do they work, and why?
- A second-order stock market model
- Generalized volatility-stabilized processes
- On a class of diverse market models
- The meaning of market efficiency
- Hedging under arbitrage
- Information geometry in portfolio theory
- Quadratic transportation inequalities for SDEs with measurable drift
- Asset dependency structures and portfolio insurance strategies
- A Class of Stochastic Games and Moving Free Boundary Problems
- Functional portfolio optimization in stochastic portfolio theory
- Equilibrium fluctuations for a discrete Atlas model
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
- Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
- Zipf's law for Atlas models
- Generalised Lyapunov Functions and Functionally Generated Trading Strategies
- Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
- Hybrid Atlas models
- scientific article; zbMATH DE number 6263675 (Why is no real title available?)
- The stable capital distribution under improved Atlas model
- Frontiers of Stochastically Nondominated Portfolios
- BENCHMARKED RISK MINIMIZATION
- Evaluating hybrid products: the interplay between financial and insurance markets
- Equity portfolios generated by functions of ranked market weights
- Relative arbitrage: Sharp time horizons and motion by curvature
- Open markets
- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
- Portfolio optimization when expected stock returns are determined by exposure to risk
- Propagation of chaos for maxima of particle systems with mean-field drift interaction
- Darwinian evolution as Brownian motion on the simplex: a geometric perspective on stochastic replicator dynamics
- Dimension-free local convergence and perturbations for reflected Brownian motions
- On the difference between entropic cost and the optimal transport cost
- Conformal mirror descent with logarithmic divergences
- Model‐free portfolio theory: A rough path approach
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