ANALYSIS OF MARKET WEIGHTS UNDER VOLATILITY-STABILIZED MARKET MODELS
成果类型：
Article
署名作者：
Pal, Soumik
署名单位：
University of Washington; University of Washington Seattle
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/10-AAP725
发表日期：
2011
页码：
1180-1213
关键词：
摘要：
We derive the joint density of market weights, at fixed times and suitable stopping times, of the volatility-stabilized market models introduced by Fernholz and Karatzas in [Ann. Finan. 1 (2005) 149-177]. The argument rests on computing the exit density of a collection of independent Bessel-square processes of possibly different dimensions from the unit simplex. We show that the law of the market weights is the same as that of the multi-allele Wright-Fisher diffusion model, well known in population genetics. Thus, as a side result, we furnish a novel proof of the transition density function of the Wright-Fisher model which was originally derived by Griffiths by biorthogonal series expansion.
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