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On Local Times of Ranked Continuous Semimartingales;Application to Portfolio Generating Functions

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  • Raouf Ghomrasni

Abstract

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.

Suggested Citation

  • Raouf Ghomrasni, 2005. "On Local Times of Ranked Continuous Semimartingales;Application to Portfolio Generating Functions," SFB 649 Discussion Papers SFB649DP2005-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2005-043
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-043.pdf
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    References listed on IDEAS

    as
    1. Robert Fernholz, 2001. "Equity portfolios generated by functions of ranked market weights," Finance and Stochastics, Springer, vol. 5(4), pages 469-486.
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    More about this item

    Keywords

    Portfolio-generating function; continuous semimartingale; local time; ranked processes;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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