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Local times of ranked continuous semimartingales

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  • Banner, Adrian D.
  • Ghomrasni, Raouf

Abstract

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 admit triple points.

Suggested Citation

  • Banner, Adrian D. & Ghomrasni, Raouf, 2008. "Local times of ranked continuous semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1244-1253, July.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:7:p:1244-1253
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    References listed on IDEAS

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    1. Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
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