Dynamics of observables in rank-based models and performance of functionally generated portfolios
Dynamics of observables in rank-based models and performance of functionally generated portfolios
In the seminal work (Stochastic Portfolio Theory: Stochastic Modelling and Applied Probability (2002) Springer), several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment decisions, a concise mathematical description of their …