Atlas models of equity markets

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dc.creatorBanner, Adrian D.
dc.creatorFernholz, Robert
dc.creatorKaratzas, Ioannis
dc.date2006-02-23
dc.date.accessioned2026-07-07T12:11:15Z
dc.date.available2026-07-07T12:11:15Z
dc.descriptionAtlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank. The simplest such model assigns the same, constant variance to all stocks; zero rate of growth to all stocks but the smallest; and positive growth rate to the smallest, the Atlas stock. In this paper we study the basic properties of this class of models, as well as the behavior of various portfolios in their midst. Of particular interest are portfolios that do not contain the Atlas stock.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000449 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0602521
dc.identifierhttp://arxiv.org/abs/math/0602521
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 4, 2296-2330
dc.identifierdoi:10.1214/105051605000000449
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210165
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H10, 91B28 (Primary) 60J55 (Secondary)
dc.titleAtlas models of equity markets
dc.typetext

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