SFB 649 Discussion Paper 2005-043 On Local Times of Ranked Continuous Semimartingales; Application to Portfolio Generating Functions Raouf Ghomrasni* * Institute of Mathematics, Technische Universität Berlin, Germany This research was supported by the...

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.

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.

In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general...

In this note we extend and clarify some identities in law for Brownian motion proved by Seshadri (Canad. J. Statist. 16 (1988) 209) using a new identity in law obtained by Matsumoto and Yor (Proc. Japan Acad. Ser. A Math. Sci. 74 (1998) 152).

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.

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...