Ghomrasni, Raouf - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
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. …
SFB 649 Discussion Paper 2005-043
On Local Times of
Ranked Continuous
Semimartingales …