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April 2011 Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner, Ioannis Karatzas, Robert Fernholz
Ann. Appl. Probab. 21(2): 609-644 (April 2011). DOI: 10.1214/10-AAP706

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.

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Tomoyuki Ichiba. Vassilios Papathanakos. Adrian Banner. Ioannis Karatzas. Robert Fernholz. "Hybrid Atlas models." Ann. Appl. Probab. 21 (2) 609 - 644, April 2011. https://doi.org/10.1214/10-AAP706

Information

Published: April 2011
First available in Project Euclid: 22 March 2011

zbMATH: 1230.60046
MathSciNet: MR2807968
Digital Object Identifier: 10.1214/10-AAP706

Subjects:
Primary: 60G44, 91B28
Secondary: 70F10

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.21 • No. 2 • April 2011
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