On Local Times of Ranked Continuous Semimartingales; Application to PortfolioGenerating 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:	2005-06-13
Authors:	Ghomrasni, Raouf
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Portfoliomanagement \| portfolio management \| Klassifikation \| Funktion

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Extent:	357376 bytes 13 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2005-043
Type of publication:	Book / Working Paper
Language:	English
Classification:	Others ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)