Hybrid Atlas models
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Publication:535207
DOI10.1214/10-AAP706zbMATH Open1230.60046arXiv0909.0065MaRDI QIDQ535207FDOQ535207
Authors: Tomoyuki Ichiba, Vassilios Papathanakos, Ioannis Karatzas, Adrian D. Banner, E. Robert Fernholz 
Publication date: 11 May 2011
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0909.0065
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diffusion processes interacting through their ranksgrowth-optimal and universal portfoliosinvariant measure of diffusionlocal times of Bessel processesreflected Brownian motions in polyhedral domains
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