Hybrid Atlas models
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0909.0065.
Date of creation: Aug 2009
Date of revision: Apr 2011
Publication status: Published in Annals of Applied Probability 2011, Vol. 21, No. 2, 609-644
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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