Dynamics of observables in rank-based models and performance of functionally generated portfolios
DOI10.1214/19-AAP1466zbMath1443.91268arXiv1802.03593OpenAlexW2980518151MaRDI QIDQ2286454
Mykhaylo Shkolnikov, Jiacheng Zhang, Sergio A. Almada Monter
Publication date: 22 January 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.03593
stochastic partial differential equationsporous medium equationhitting timesstochastic portfolio theoryGaussian fluctuationsfunctionally generated portfolioshydrodynamic limitsrank-based modelscapital distributionmacroscopic market observablesmarket diversitymarket entropyrelative return
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
- Large systems of diffusions interacting through their ranks
- Hybrid Atlas models
- Equilibrium fluctuation of the Atlas model
- Chaoticity of the stationary distribution of rank-based interacting diffusions
- On the diversity of equity markets
- Optimal surviving strategy for drifted Brownian motions with absorption
- SPDE limit of the global fluctuations in rank-based models
- Diversity and relative arbitrage in equity markets
- Uniqueness for diffusions with piecewise constant coefficients
- Convergence rates for rank-based models with applications to portfolio theory
- The infinite Atlas process: convergence to equilibrium
- Capital distribution and portfolio performance in the mean-field Atlas model
- Stationary gap distributions for infinite systems of competing Brownian particles
- Trading strategies generated by Lyapunov functions
- One-dimensional Brownian particle systems with rank-dependent drifts
- Atlas models of equity markets
- Multidimensional diffusion processes.
- Large Deviations for Diffusions Interacting Through Their Ranks
- Mean stochastic comparison of diffusions
- Stochastic Portfolio Theory: an Overview
- Brownian Particles with Rank‐Dependent Drifts: Out‐of‐Equilibrium Behavior
- The advantage of capitalism vs. socialism depends on the criterion
- An Inequality in the Theory of Stochastic Integrals
This page was built for publication: Dynamics of observables in rank-based models and performance of functionally generated portfolios
