Publication Date:
2017-08-12
Description:
Author(s): Ofer Alper, Anelia Somekh-Baruch, Oz Pirvandy, Malka Schaps, and Gur Yaari Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reduci... [Phys. Rev. E 96, 022305] Published Mon Aug 07, 2017
Keywords:
Networks and Complex Systems
Print ISSN:
1539-3755
Electronic ISSN:
1550-2376
Topics:
Physics