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.
Publié le : 2011-04-15
Classification:
Diffusion processes interacting through their ranks,
reflected Brownian motions in polyhedral domains,
invariant measure of diffusion,
growth-optimal and universal portfolios,
local times of Bessel processes,
60G44,
91B28,
70F10
@article{1300800983,
author = {Ichiba, Tomoyuki and Papathanakos, Vassilios and Banner, Adrian and Karatzas, Ioannis and Fernholz, Robert},
title = {Hybrid Atlas models},
journal = {Ann. Appl. Probab.},
volume = {21},
number = {1},
year = {2011},
pages = { 609-644},
language = {en},
url = {http://dml.mathdoc.fr/item/1300800983}
}
Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert. Hybrid Atlas models. Ann. Appl. Probab., Tome 21 (2011) no. 1, pp. 609-644. http://gdmltest.u-ga.fr/item/1300800983/