تقرير
Entropy-Maximizing Dynamics of Continuous Markets
العنوان: | Entropy-Maximizing Dynamics of Continuous Markets |
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المؤلفون: | Platen, Eckhard |
سنة النشر: | 2023 |
المجموعة: | Mathematics |
مصطلحات موضوعية: | Mathematics - General Mathematics |
الوصف: | By assuming the existence of the growth optimal portfolio (GOP), the stationarity of GOP-volatilities, and the maximization of relative entropy, the paper applies the benchmark approach to the modeling of the long-term dynamics of continuous markets. It reveals conservation laws, where the GOP is shown to follow a time-transformed squared Bessel process of dimension four. Moreover, it predicts the convergence of the averages of the GOP-volatilities with respect to the driving independent Brownian motions toward a common level. |
نوع الوثيقة: | Working Paper |
URL الوصول: | http://arxiv.org/abs/2403.09652 |
رقم الأكسشن: | edsarx.2403.09652 |
قاعدة البيانات: | arXiv |
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