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Abstract
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We discuss an abstract financial equity market where the ranks of market capitals have an important role. Under some reasonable assumptions the market has some stability properties which are observed in the real market. We study this Atlas model and its asymptotic properties with relation to the reflected Brownian motion in a polyhedral domain. In a general n-dimensional diffusion set-up there is an interesting phenomenon called triple collision. We argue some sufficient conditions for no-triple collision under this model. Several portfolio strategies are also discussed. |
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