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
Authors:	Ghomrasni, Raouf
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Portfolio-generating function , continuous semimartingale , local time , ranked processes

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Series:	SFB 649 Discussion Paper ; 2005-043
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	512271518 [GVK] hdl:10419/25062 [Handle] RePEc:zbw:sfb649:sfb649dp2005-043 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263602