On Local Times of Ranked Continuous Semimartingales;Application to Portfolio Generating Functions

We derive the decomposition of the ranked continuous semimartingales i.e. order-statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.

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Year of publication:	2005-06
Authors:	Ghomrasni, Raouf
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Portfolio-generating function \| continuous semimartingale \| local time \| ranked processes

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number SFB649DP2005-043 13 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652777