Convergence rates for rank-based models with applications to portfolio theory

Keyphrases

• Convergence Rate 100%
• Portfolio Theory 100%
• Rank-based Models 100%
• Ranking Method 50%
• Markov Process 50%
• Equity Markets 50%
• Quantitative Bound 50%
• Performance Comparison 50%
• Functionally Generated Portfolio 50%
• Transportation-information Inequality 50%
• Semimartingale Reflecting Brownian Motion 50%
• Additive Function 50%
• Occupation Time 50%
• Stochastic Portfolio Theory 50%
• Market Weight 50%
• Rank-based Interacting Diffusions 50%
• Market Portfolio 50%

Mathematics

• Convergence Rate 100%
• Portfolio Theory 100%
• Probability Theory 50%
• Stochastics 50%
• Brownian Motion 50%
• Transportation Cost 50%
• Markov Process 50%
• Additive Functional 50%
• Equity Market 50%

Economics, Econometrics and Finance

• Portfolio Theory 100%