Section: New Results

Capital distribution and portfolio performance in the mean-field Atlas model

Participants : Benjamin Jourdain, J. Reygner.

B. Jourdain and J. Reygner study a mean-field version of rank-based models of equity markets, introduced by Fernholz in the framework of stochastic portfolio theory. They first obtain an asymptotic description of the market when the number of companies grows to infinity. They then discuss the long-term capital distribution in this asymptotic model, as well as the performance of simple portfolio rules. In particular, they highlight the influence of the volatility structure of the model on the growth rates of portfolios.