Abstract: We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of such models we discuss properties of various investment strategies, including the so-called growth-optimal and universal portfolios.
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- Atlas models of equity markets
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Cited in
(60)- Polynomial processes in stochastic portfolio theory
- Kinetic models for topological nearest-neighbor interactions
- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- Ranking-based rich-get-richer processes
- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
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- Stochastic integral equations for Walsh semimartingales
- Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
- Comparison techniques for competing Brownian particles
- The stable capital distribution under improved Atlas model
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- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
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- Stationary distributions of the Atlas model
- A stock market model based on CAPM and market size
- Open markets and hybrid Jacobi processes
- Degenerate competing three-particle systems
- Diverse market models of competing Brownian particles with splits and mergers
- Dimension-free local convergence and perturbations for reflected Brownian motions
- Trading strategies generated by Lyapunov functions
- Information geometry in portfolio theory
- A note on jump Atlas models
- Capital distribution and portfolio performance in the mean-field Atlas model
- A second-order stock market model
- On a class of diverse market models
- Optimal surviving strategy for drifted Brownian motions with absorption
- Large deviations for diffusions interacting through their ranks
- Infinite systems of competing Brownian particles
- Instability and concentration in the distribution of wealth
- Diversity-weighted portfolios with negative parameter
- Zipf's law for Atlas models
- Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
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- Generalized Rank Dirichlet distributions
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- High moments of the SHE in the clustering regimes
- Permutation-weighted portfolios and the efficiency of commodity futures markets
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- Dynamics of finite inhomogeneous particle systems with exclusion interaction
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- Mean-field games and swarms dynamics in Gaussian and non-Gaussian environments
- Convergence rates for rank-based models with applications to portfolio theory
- Strong solutions of stochastic equations with rank-based coefficients
- Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
- Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
- Quantifying a convergence theorem of Gyöngy and Krylov
- Long time behaviour and mean-field limit of Atlas models
- Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
- Equilibrium fluctuations for a discrete Atlas model
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- Diffusions with rank-based characteristics and values in the nonnegative quadrant
- Two-sided infinite systems of competing Brownian particles
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
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