Hybrid Atlas models

Citation
Ichiba,tomoyuki et al., Hybrid Atlas models, Annals of applied probability , 21(2), 2011, pp. 609-644
ISSN journal
10505164
Volume
21
Issue
2
Year of publication
2011
Pages
609 - 644
Database
ACNP
SICI code
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.