Local times of ranked continuous semimartingales
Given a finite collection of continuous semimartingales, we derive a semimartingale decomposition of the corresponding ranked (order-statistics) processes. We apply the decomposition to extend the theory of equity portfolios generated by ranked market weights to the case where the stock values admit triple points.
Year of publication: |
2008
|
---|---|
Authors: | Banner, Adrian D. ; Ghomrasni, Raouf |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 7, p. 1244-1253
|
Publisher: |
Elsevier |
Keywords: | Portfolios Portfolio generating functions Continuous semimartingales Order statistics Local times |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Atlas models of equity markets
Banner, Adrian D., (2006)
-
Short-term relative arbitrage in volatility-stabilized markets
Banner, Adrian D., (2008)
-
On local times of ranked continuous semimartingales: application to portfolio generating functions
Ghomrasni, Raouf, (2005)
- More ...