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  • Search: subject:"Mean-field Atlas model"
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Year of publication
Subject
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Capital distribution curves 2 Growth rate 2 Mean-field Atlas model 2 Rank-based models 2 Size effect 2 Portfolio selection 1 Portfolio-Management 1 Stochastic Portfolio Theory 1 Stochastic portfolio theory 1 Theorie 1 Theory 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Jourdain, Benjamin 2 Reygner, Julien 2
Institution
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HAL 1
Published in...
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Annals of finance 1 Working Papers / HAL 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Capital distribution and portfolio performance in the mean-field Atlas model
Jourdain, Benjamin; Reygner, Julien - HAL - 2014
We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an asymptotic description of the market when the number of companies grows to infinity. Then, we discuss the long-term...
Persistent link: https://www.econbiz.de/10010899652
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Cover Image
Capital distribution and portfolio performance in the mean-field Atlas model
Jourdain, Benjamin; Reygner, Julien - In: Annals of finance 11 (2015) 2, pp. 151-198
Persistent link: https://www.econbiz.de/10011376175
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