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Search: subject:"semimartingale Local time"
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Portfolio-generating function , continuous semimartingale , local time , ranked processes
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Ghomrasni, Raouf
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On local times of ranked continuous semimartingales: Application to portfolio generating functions
Ghomrasni, Raouf
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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.
Persistent link: https://www.econbiz.de/10010263602
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