HYBRID ATLAS MODELS

• 成果类型: Article
• 署名作者: Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert
• 署名单位: University of California System; University of California Santa Barbara
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP706
• 发表日期: 2011
• 页码: 609-644
• 关键词: reflected brownian-motion

摘要

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.