Work

Hybrid Atlas models

Year: 2011

Type: article

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.

Source: The Annals of Applied Probability

DOI: 10.1214/10-aap706

Authors: Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner, Ioannis Karatzas, Robert Fernholz

Institutions: University of California, Santa Barbara, University of California System

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Science Foundation, University of Michigan

Awards: Stochastic Controls, Games and Portfolios, Topics in Stochastic Analysis and Optimization