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.
Recommendations
- Atlas models of equity markets
- Convergence rates for rank-based models with applications to portfolio theory
- Capital distribution and portfolio performance in the mean-field Atlas model
- The stable capital distribution under improved Atlas model
- Equity portfolios generated by functions of ranked market weights
Cites work
- scientific article; zbMATH DE number 4005284 (Why is no real title available?)
- scientific article; zbMATH DE number 3688420 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- scientific article; zbMATH DE number 850352 (Why is no real title available?)
- A combinatorial analysis of interacting diffusions
- A phase transition behavior for Brownian motions interacting through their ranks
- ASYMPTOTICALLY OPTIMAL PORTFOLIOS
- An Inequality in the Theory of Stochastic Integrals
- Atlas models of equity markets
- Brownian models of open queueing networks with homogeneous customer populations∗
- Diffusion processes with boundary conditions
- Dyson's Brownian motions, intertwining and interlacing
- Local times of ranked continuous semimartingales
- Mesure invariante sur les classes r�currentes des processus de Markov
- Multidimensional diffusion processes.
- Multidimensional reflected Brownian motions having exponential stationary distributions
- On collisions of Brownian particles
- On the structure of quasi-stationary competing particle systems
- One-dimensional Brownian particle systems with rank-dependent drifts
- Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
- Reflected Brownian motion on an orthant
- Reflected Brownian motion with skew symmetric data in a polyhedral domain
- Reflected planar Brownian motions, intertwining relations and crossing probabilities
- Uniqueness for diffusions with piecewise constant coefficients
- Universal Portfolios
Cited in
(60)- Open markets and hybrid Jacobi processes
- IMITATION, PROXIMITY, AND GROWTH — A COLLECTIVE SWARM DYNAMICS APPROACH
- Long-time behavior of finite and infinite dimensional reflected Brownian motions
- Quantifying a convergence theorem of Gyöngy and Krylov
- High moments of the SHE in the clustering regimes
- Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
- Ranking-based rich-get-richer processes
- Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity
- Generalized Rank Dirichlet distributions
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- Infinite systems of competing Brownian particles
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
- A Class of Stochastic Games and Moving Free Boundary Problems
- Exponential ergodicity and convergence for generalized reflected Brownian motion
- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- Competing particle systems evolving by interacting Lévy processes
- Mean-field games and swarms dynamics in Gaussian and non-Gaussian environments
- Two-sided infinite systems of competing Brownian particles
- A note on jump Atlas models
- Zipf's law for Atlas models
- Stationary distributions of the Atlas model
- Concentration of measure for Brownian particle systems interacting through their ranks
- Capital distribution and portfolio performance in the mean-field Atlas model
- Degenerate competing three-particle systems
- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
- Permutation-weighted portfolios and the efficiency of commodity futures markets
- Green's functions with oblique Neumann boundary conditions in the quadrant
- Kinetic models for topological nearest-neighbor interactions
- Information geometry in portfolio theory
- Polynomial processes in stochastic portfolio theory
- Dynamics of finite inhomogeneous particle systems with exclusion interaction
- Large deviations for diffusions interacting through their ranks
- Dimension-free local convergence and perturbations for reflected Brownian motions
- Instability and concentration in the distribution of wealth
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- Optimal surviving strategy for drifted Brownian motions with absorption
- 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
- Diverse market models of competing Brownian particles with splits and mergers
- A stock market model based on CAPM and market size
- Stochastic integral equations for Walsh semimartingales
- Concentration for multidimensional diffusions and their boundary local times
- Long time behaviour and mean-field limit of Atlas models
- Trading strategies generated by Lyapunov functions
- Large systems of diffusions interacting through their ranks
- Diffusions with rank-based characteristics and values in the nonnegative quadrant
- Comparison techniques for competing Brownian particles
- A second-order stock market model
- On a class of diverse market models
- Equilibrium fluctuations for a discrete Atlas model
- Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
- Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
- Diversity-weighted portfolios with negative parameter
- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
- Dynamics of observables in rank-based models and performance of functionally generated portfolios
- The stable capital distribution under improved Atlas model
This page was built for publication: Hybrid Atlas models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q535207)
