Stable Models for the Distribution of Capital
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.
KeywordsMarket Model Pareto Distribution Equity Market Lower Envelope Small Stock
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