On a class of diverse market models
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Publication:470733
DOI10.1007/s10436-013-0245-2zbMath1298.91150arXiv1301.5941OpenAlexW2047426965MaRDI QIDQ470733
Publication date: 13 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.5941
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (4)
Diverse market models of competing Brownian particles with splits and mergers ⋮ Diversity-weighted portfolios with negative parameter ⋮ Penalty method for obliquely reflected diffusions ⋮ Capital distribution and portfolio performance in the mean-field Atlas model
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