Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos - arXiv.org - 2008
A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of...