Abstract
In Chapter 2 we examined certain characteristics of the distribution of capital, but since the analytical tools at our disposal were limited, the results were incomplete. In this chapter we shall apply the methods introduced in Chapters 3 and 4 to achieve a deeper understanding of the structure of the capital distribution. In particular, local times related to the market weight processes permit us to develop a detailed model for a stable capital distribution.
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© 2002 Springer Science+Business Media New York
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Fernholz, E.R. (2002). Stable Models for the Distribution of Capital. In: Stochastic Portfolio Theory. Applications of Mathematics, vol 48. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-3699-1_5
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DOI: https://doi.org/10.1007/978-1-4757-3699-1_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-2987-7
Online ISBN: 978-1-4757-3699-1
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