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A second-order stock market model
5 references·0 citing·16 second hop
A second-order stock market model (2012)A second-order stock market modelHybrid Atlas models (2011)Hybrid Atlas modelsStochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: …Atlas models of equity markets (2005)Atlas models of equity marketsStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryMultidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Brownian Motion and Stochastic Calculus (2007)Deep Learning for Portfolio Optimization (2020)PORTFOLIO SELECTION* (1952)Market viability via absence of arbitrage of the first kind (2012)Reflected Brownian Motion on an Orthant (1981)Universal Portfolios (1991)Continuous Martingales and Brownian Motion (1999)Large systems of diffusions interacting through their ranks (2012)Strong solutions of stochastic equations with rank-based coefficients (2012)Stability in a Model of Interbank Lending (2013)Methods of Mathematical Finance (1998)Relative arbitrage in volatility-stabilized markets (2005)Stochastic Differential Equations (2006)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
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References

  • 2002Stochastic Portfolio Theory249 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2009Stochastic Portfolio Theory: an Overview169 cited
  • 2005Atlas models of equity markets148 cited
  • 2011Hybrid Atlas models117 cited

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