Hybrid Atlas models
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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
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- Banner, Adrian D. & Ghomrasni, Raouf, 2008. "Local times of ranked continuous semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1244-1253, July.
- Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.